WorldWideScience

Sample records for autoregressive modelling approach

  1. A graphical vector autoregressive modelling approach to the analysis of electronic diary data

    OpenAIRE

    Zipfel Stephan; Hartmann Mechthild; Friederich Hans-Christoph; Eichler Michael; Wild Beate; Herzog Wolfgang

    2010-01-01

    Abstract Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (...

  2. Bayesian Variable Selection in Spatial Autoregressive Models

    OpenAIRE

    Jesus Crespo Cuaresma; Philipp Piribauer

    2015-01-01

    This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. We present two alternative approaches which can be implemented using Gibbs sampling methods in a straightforward way and allow us to deal with the problem of model uncertainty in spatial autoregressive models in a flexible and computationally efficient way. In a simulation study we show that the variable selection approaches tend to outperform existing Bayesian model averaging tech...

  3. A new approach to simulating stream isotope dynamics using Markov switching autoregressive models

    Science.gov (United States)

    Birkel, Christian; Paroli, Roberta; Spezia, Luigi; Dunn, Sarah M.; Tetzlaff, Doerthe; Soulsby, Chris

    2012-09-01

    In this study we applied Markov switching autoregressive models (MSARMs) as a proof-of-concept to analyze the temporal dynamics and statistical characteristics of the time series of two conservative water isotopes, deuterium (δ2H) and oxygen-18 (δ18O), in daily stream water samples over two years in a small catchment in eastern Scotland. MSARMs enabled us to explicitly account for the identified non-linear, non-Normal and non-stationary isotope dynamics of both time series. The hidden states of the Markov chain could also be associated with meteorological and hydrological drivers identifying the short (event) and longer-term (inter-event) transport mechanisms for both isotopes. Inference was based on the Bayesian approach performed through Markov Chain Monte Carlo algorithms, which also allowed us to deal with a high rate of missing values (17%). Although it is usually assumed that both isotopes are conservative and exhibit similar dynamics, δ18O showed somewhat different time series characteristics. Both isotopes were best modelled with two hidden states, but δ18O demanded autoregressions of the first order, whereas δ2H of the second. Moreover, both the dynamics of observations and the hidden states of the two isotopes were explained by two different sets of covariates. Consequently use of the two tracers for transit time modelling and hydrograph separation may result in different interpretations on the functioning of a catchment system.

  4. A graphical vector autoregressive modelling approach to the analysis of electronic diary data

    Directory of Open Access Journals (Sweden)

    Zipfel Stephan

    2010-04-01

    Full Text Available Abstract Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (VAR models. We give a comprehensive description of the underlying concepts and explain how the dependence structure can be recovered from electronic diary data by a search over suitable constrained (graphical VAR models. Results The graphical VAR approach is applied to the electronic diary data of 35 obese patients with and without binge eating disorder (BED. The dynamic relationships for the two subgroups between eating behaviour, depression, anxiety and eating control are visualized in two path diagrams. Results show that the two subgroups of obese patients with and without BED are distinguishable by the temporal patterns which influence their respective eating behaviours. Conclusion The use of the graphical VAR approach for the analysis of electronic diary data leads to a deeper insight into patient's dynamics and dependence structures. An increasing use of this modelling approach could lead to a better understanding of complex psychological and physiological mechanisms in different areas of medical care and research.

  5. A Deep and Autoregressive Approach for Topic Modeling of Multimodal Data.

    Science.gov (United States)

    Zheng, Yin; Zhang, Yu-Jin; Larochelle, Hugo

    2016-06-01

    Topic modeling based on latent Dirichlet allocation (LDA) has been a framework of choice to deal with multimodal data, such as in image annotation tasks. Another popular approach to model the multimodal data is through deep neural networks, such as the deep Boltzmann machine (DBM). Recently, a new type of topic model called the Document Neural Autoregressive Distribution Estimator (DocNADE) was proposed and demonstrated state-of-the-art performance for text document modeling. In this work, we show how to successfully apply and extend this model to multimodal data, such as simultaneous image classification and annotation. First, we propose SupDocNADE, a supervised extension of DocNADE, that increases the discriminative power of the learned hidden topic features and show how to employ it to learn a joint representation from image visual words, annotation words and class label information. We test our model on the LabelMe and UIUC-Sports data sets and show that it compares favorably to other topic models. Second, we propose a deep extension of our model and provide an efficient way of training the deep model. Experimental results show that our deep model outperforms its shallow version and reaches state-of-the-art performance on the Multimedia Information Retrieval (MIR) Flickr data set. PMID:26372202

  6. Empirical Vector Autoregressive Modeling

    NARCIS (Netherlands)

    M. Ooms (Marius)

    1993-01-01

    textabstractChapter 2 introduces the baseline version of the VAR model, with its basic statistical assumptions that we examine in the sequel. We first check whether the variables in the VAR can be transformed to meet these assumptions. We analyze the univariate characteristics of the series. Import

  7. Estimation in autoregressive models with Markov regime

    OpenAIRE

    Ríos, Ricardo; Rodríguez, Luis

    2005-01-01

    In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAEM type algorithm to estimate the models parameters. We test the null hypothesis of hidden Markov Model against an autoregressive process with Markov regime.

  8. Nonlinear autoregressive models and long memory

    OpenAIRE

    Kapetanios, George

    2004-01-01

    This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

  9. A novel approach to equipment health management based on auto-regressive hidden semi-Markov model (AR-HSMM)

    Institute of Scientific and Technical Information of China (English)

    DONG Ming

    2008-01-01

    As a new maintenance method, CBM (condition based maintenance) is becoming more and more important for the health management of complicated and costly equipment. A prerequisite to widespread deployment of CBM technology and prac-tice in industry is effective diagnostics and prognostics. Recently, a pattern recog-nition technique called HMM (hidden Markov model) was widely used in many fields. However, due to some unrealistic assumptions, diagnositic results from HMM were not so good, and it was difficult to use HMM directly for prognosis. By relaxing the unrealistic assumptions in HMM, this paper presents a novel approach to equip-ment health management based on auto-regressive hidden semi-Markov model (AR-HSMM). Compared with HMM, AR-HSMM has three advantages: 1)It allows explicitly modeling the time duration of the hidden states and therefore is capable of prognosis. 2) It can relax observations' independence assumption by accom-modating a link between consecutive observations. 3) It does not follow the unre-alistic Markov chain's memoryless assumption and therefore provides more pow-erful modeling and analysis capability for real problems. To facilitate the computation in the proposed AR-HSMM-based diagnostics and prognostics, new forwardbackward variables are defined and a modified forward-backward algorithm is developed. The evaluation of the proposed methodology was carried out through a real world application case study: health diagnosis and prognosis of hydraulic pumps in Caterpillar Inc. The testing results show that the proposed new approach based on AR-HSMM is effective and can provide useful support for the decision-making in equipment health management.

  10. Cardiac arrhythmia classification using autoregressive modeling

    OpenAIRE

    Srinivasan Narayanan; Ge Dingfei; Krishnan Shankar M

    2002-01-01

    Abstract Background Computer-assisted arrhythmia recognition is critical for the management of cardiac disorders. Various techniques have been utilized to classify arrhythmias. Generally, these techniques classify two or three arrhythmias or have significantly large processing times. A simpler autoregressive modeling (AR) technique is proposed to classify normal sinus rhythm (NSR) and various cardiac arrhythmias including atrial premature contraction (APC), premature ventricular contraction (...

  11. Bias-correction in vector autoregressive models

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study,...

  12. Model selection in periodic autoregressions

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)

    1994-01-01

    textabstractThis paper focuses on the issue of period autoagressive time series models (PAR) selection in practice. One aspect of model selection is the choice for the appropriate PAR order. This can be of interest for the valuation of economic models. Further, the appropriate PAR order is important

  13. Evaluation of a vector autoregressive approach for downscaling

    Science.gov (United States)

    Salonen, Sebastian; Sauter, Tobias

    2014-05-01

    Statisical downscaling has become a well-established tool in regional and local impact assessments over the last few years. Robust and universal downscaling methods are required to reliably correct the spatial and temporal structures from coarse models. In this study we set up and evaluate the application of VAR-models for automated temperature and precipitation downscaling. VAR-models belong to the vectorial regression-techniques, that include autoregressive effects of the considered time series. They might be seen as an extension of univariate time-series analysis to multivariate perspective. Including autoregressive effects is one of the great advantages of this method, but also includes some pitfalls. Before the model can be applied the structure of the data must be carfully examined and require appropriate data preprocessing. We study in detail different preprocessing techniques and the possibility of the automatization. The proposed method has been applied and evaluated to temperature and precipitation data in the Rhineland region (Germany) and Svalbard. The large-scale atmospheric data are derived from ERA-40 as NCEP/NCAR reanalysis. These datasets offer the possibility to determine the applicability of VAR-models in a downscaling approach, their need for data-preparation techniques and the possibility of an automatization of an approach based on these models.

  14. ENSO Prediction using Vector Autoregressive Models

    Science.gov (United States)

    Chapman, D. R.; Cane, M. A.; Henderson, N.; Lee, D.; Chen, C.

    2013-12-01

    A recent comparison (Barnston et al, 2012 BAMS) shows the ENSO forecasting skill of dynamical models now exceeds that of statistical models, but the best statistical models are comparable to all but the very best dynamical models. In this comparison the leading statistical model is the one based on the Empirical Model Reduction (EMR) method. Here we report on experiments with multilevel Vector Autoregressive models using only sea surface temperatures (SSTs) as predictors. VAR(L) models generalizes Linear Inverse Models (LIM), which are a VAR(1) method, as well as multilevel univariate autoregressive models. Optimal forecast skill is achieved using 12 to 14 months of prior state information (i.e 12-14 levels), which allows SSTs alone to capture the effects of other variables such as heat content as well as seasonality. The use of multiple levels allows the model advancing one month at a time to perform at least as well for a 6 month forecast as a model constructed to explicitly forecast 6 months ahead. We infer that the multilevel model has fully captured the linear dynamics (cf. Penland and Magorian, 1993 J. Climate). Finally, while VAR(L) is equivalent to L-level EMR, we show in a 150 year cross validated assessment that we can increase forecast skill by improving on the EMR initialization procedure. The greatest benefit of this change is in allowing the prediction to make effective use of information over many more months.

  15. Modeling of non-stationary autoregressive alpha-stable processe

    Data.gov (United States)

    National Aeronautics and Space Administration — In the literature, impulsive signals are mostly modeled by symmetric alpha-stable processes. To represent their temporal dependencies, usually autoregressive models...

  16. Model reduction methods for vector autoregressive processes

    CERN Document Server

    Brüggemann, Ralf

    2004-01-01

    1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo­ cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo­ sitions, have been developed over the years. The econometrics of VAR models and related quantities i...

  17. Cardiac arrhythmia classification using autoregressive modeling

    Directory of Open Access Journals (Sweden)

    Srinivasan Narayanan

    2002-11-01

    Full Text Available Abstract Background Computer-assisted arrhythmia recognition is critical for the management of cardiac disorders. Various techniques have been utilized to classify arrhythmias. Generally, these techniques classify two or three arrhythmias or have significantly large processing times. A simpler autoregressive modeling (AR technique is proposed to classify normal sinus rhythm (NSR and various cardiac arrhythmias including atrial premature contraction (APC, premature ventricular contraction (PVC, superventricular tachycardia (SVT, ventricular tachycardia (VT and ventricular fibrillation (VF. Methods AR Modeling was performed on ECG data from normal sinus rhythm as well as various arrhythmias. The AR coefficients were computed using Burg's algorithm. The AR coefficients were classified using a generalized linear model (GLM based algorithm in various stages. Results AR modeling results showed that an order of four was sufficient for modeling the ECG signals. The accuracy of detecting NSR, APC, PVC, SVT, VT and VF were 93.2% to 100% using the GLM based classification algorithm. Conclusion The results show that AR modeling is useful for the classification of cardiac arrhythmias, with reasonably high accuracies. Further validation of the proposed technique will yield acceptable results for clinical implementation.

  18. Modeling non-Gaussian time-varying vector autoregressive process

    Data.gov (United States)

    National Aeronautics and Space Administration — We present a novel and general methodology for modeling time-varying vector autoregressive processes which are widely used in many areas such as modeling of...

  19. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus

    be subject to censoring structures. In an empirical study based on financial transaction data we present an application of the model to estimate conditional asset price change probabilities. Evaluating the forecasting properties of the model, it is shown that the proposed approach is a promising competitor......This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....... In order to capture persistent serial dependence in the duration process, we extend the model by an observation driven ARMA dynamic based on generalized errors. We illustrate the maximum likelihood estimation of both the model parameters and discrete points of the underlying unspecified baseline survivor...

  20. A complex autoregressive model and application to monthly temperature forecasts

    Directory of Open Access Journals (Sweden)

    X. Gu

    2005-11-01

    Full Text Available A complex autoregressive model was established based on the mathematic derivation of the least squares for the complex number domain which is referred to as the complex least squares. The model is different from the conventional way that the real number and the imaginary number are separately calculated. An application of this new model shows a better forecast than forecasts from other conventional statistical models, in predicting monthly temperature anomalies in July at 160 meteorological stations in mainland China. The conventional statistical models include an autoregressive model, where the real number and the imaginary number are separately disposed, an autoregressive model in the real number domain, and a persistence-forecast model.

  1. Multiple phase derivative estimation using autoregressive modeling in holographic interferometry

    International Nuclear Information System (INIS)

    A novel technique is proposed for the direct and simultaneous estimation of multiple phase derivatives from a deformation modulated carrier fringe pattern in a multi-wave holographic interferometry set-up. The fringe intensity is represented as a spatially-varying autoregressive (SVAR) model. The spatially-varying coefficients of the SVAR model are derived using a forward–backward approach of linear estimation of the fringe intensity. Using these coefficients, the poles of the SVAR model transfer function are computed and the angles of these poles provide the estimation of phase derivatives. The estimation of carrier frequency is performed by the proposed method using a reference interferogram. Simulation results are provided in the presence of noise and fringe amplitude modulation. (paper)

  2. Clustering diagnosis of rolling element bearing fault based on integrated Autoregressive/Autoregressive Conditional Heteroscedasticity model

    Science.gov (United States)

    Wang, Guofeng; Liu, Chang; Cui, Yinhu

    2012-09-01

    Feature extraction plays an important role in the clustering analysis. In this paper an integrated Autoregressive (AR)/Autoregressive Conditional Heteroscedasticity (ARCH) model is proposed to characterize the vibration signal and the model coefficients are adopted as feature vectors to realize clustering diagnosis of rolling element bearings. The main characteristic is that the AR item and ARCH item are interrelated with each other so that it can depict the excess kurtosis and volatility clustering information in the vibration signal more accurately in comparison with two-stage AR/ARCH model. To testify the correctness, four kinds of bearing signals are adopted for parametric modeling by using the integrated and two-stage AR/ARCH model. The variance analysis of the model coefficients shows that the integrated AR/ARCH model can get more concentrated distribution. Taking these coefficients as feature vectors, K means based clustering is utilized to realize the automatic classification of bearing fault status. The results show that the proposed method can get more accurate results in comparison with two-stage model and discrete wavelet decomposition.

  3. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d-b; where d ≥ b > 1/2 are parameters to be estimated. We model the data X1,...,XT given the initial...

  4. Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d - b; where d = b > 1/2 are parameters to be estimated. We model the data X¿, ..., X¿ given the initial...

  5. Modelling cointegration in the vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2000-01-01

    A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegratin...

  6. An autoregressive growth model for longitudinal item analysis.

    Science.gov (United States)

    Jeon, Minjeong; Rabe-Hesketh, Sophia

    2016-09-01

    A first-order autoregressive growth model is proposed for longitudinal binary item analysis where responses to the same items are conditionally dependent across time given the latent traits. Specifically, the item response probability for a given item at a given time depends on the latent trait as well as the response to the same item at the previous time, or the lagged response. An initial conditions problem arises because there is no lagged response at the initial time period. We handle this problem by adapting solutions proposed for dynamic models in panel data econometrics. Asymptotic and finite sample power for the autoregressive parameters are investigated. The consequences of ignoring local dependence and the initial conditions problem are also examined for data simulated from a first-order autoregressive growth model. The proposed methods are applied to longitudinal data on Korean students' self-esteem. PMID:26645083

  7. Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X(t) to be fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß...

  8. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b; that is, there exist vectors β for which β...

  9. Drought Patterns Forecasting using an Auto-Regressive Logistic Model

    Science.gov (United States)

    del Jesus, M.; Sheffield, J.; Méndez Incera, F. J.; Losada, I. J.; Espejo, A.

    2014-12-01

    Drought is characterized by a water deficit that may manifest across a large range of spatial and temporal scales. Drought may create important socio-economic consequences, many times of catastrophic dimensions. A quantifiable definition of drought is elusive because depending on its impacts, consequences and generation mechanism, different water deficit periods may be identified as a drought by virtue of some definitions but not by others. Droughts are linked to the water cycle and, although a climate change signal may not have emerged yet, they are also intimately linked to climate.In this work we develop an auto-regressive logistic model for drought prediction at different temporal scales that makes use of a spatially explicit framework. Our model allows to include covariates, continuous or categorical, to improve the performance of the auto-regressive component.Our approach makes use of dimensionality reduction (principal component analysis) and classification techniques (K-Means and maximum dissimilarity) to simplify the representation of complex climatic patterns, such as sea surface temperature (SST) and sea level pressure (SLP), while including information on their spatial structure, i.e. considering their spatial patterns. This procedure allows us to include in the analysis multivariate representation of complex climatic phenomena, as the El Niño-Southern Oscillation. We also explore the impact of other climate-related variables such as sun spots. The model allows to quantify the uncertainty of the forecasts and can be easily adapted to make predictions under future climatic scenarios. The framework herein presented may be extended to other applications such as flash flood analysis, or risk assessment of natural hazards.

  10. Least squares estimation in a simple random coefficient autoregressive model

    DEFF Research Database (Denmark)

    Johansen, S; Lange, T

    2013-01-01

    The question we discuss is whether a simple random coefficient autoregressive model with infinite variance can create the long swings, or persistence, which are observed in many macroeconomic variables. The model is defined by yt=stρyt−1+εt,t=1,…,n, where st is an i.i.d. binary variable with p...

  11. Temporal aggregation in first order cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline...

  12. Testing exact rational expectations in cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    1999-01-01

    This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization...

  13. Some Identification Problems in the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2010-01-01

    The paper analyses some identification problems in the cointegrated vector autoregressive model. A criteria for identification by linear restrictions on individual relations is given. The asymptotic distribution of the estimators of a and ß is derived when they are identified by linear restrictions...

  14. Nonlinear autoregressive models with heavy-tailed innovation

    Institute of Scientific and Technical Information of China (English)

    JIN; Yang; AN; Hongzhi

    2005-01-01

    In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlJnear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.

  15. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL) Approach

    OpenAIRE

    Helen Higgs; Andrew C. Worthington

    2014-01-01

    This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL) approach. We particularly focus on the impact of the global financial crisis (GFC) from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets): owneroccupied housing loans (Sep 1985–June 2010), term loans (for motor vehicles, household goods and debt consolidation, etc.) (Dec 1988–Jun 2010), cre...

  16. Stock price forecasting: autoregressive modelling and fuzzy neural network

    OpenAIRE

    Marcek, Dusan

    2000-01-01

    Most models for the time series of stock prices have centered on autoregressive (AR) processes. Traditionaly, fundamantal Box-Jenkins analysis [3] have been the mainstream methodology used to develop time series models. Next, we briefly describe the develop a classical AR model for stock price forecasting. Then a fuzzy regression model is then introduced Following this description, an artificial fuzzy neural network based on B-spline member ship function is presented as an alternative to ...

  17. Asymptotic behavior of CLS estimator of autoregressive parameter for nonprimitive unstable INAR(2) models

    CERN Document Server

    Barczy, Matyas; Pap, Gyula

    2010-01-01

    In this paper the asymptotic behavior of conditional least squares estimators of the autoregressive parameter for nonprimitive unstable integer-valued autoregressive models of order 2 (INAR(2)) is described.

  18. Single-Index Additive Vector Autoregressive Time Series Models

    KAUST Repository

    LI, YEHUA

    2009-09-01

    We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided for stationarity of such models. We also study estimation of the proposed model using P-splines, hypothesis testing, asymptotics, selection of the order of the autoregression and of the smoothing parameters and nonlinear forecasting. We perform simulation experiments to evaluate our model in various settings. We illustrate our methodology on a climate data set and show that our model provides more accurate yearly forecasts of the El Niño phenomenon, the unusual warming of water in the Pacific Ocean. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics.

  19. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2010-01-01

    This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data X1......,...,X_{T} given the initial values X_{-n}, n=0,1,..., as is usually done. The initial values are not modeled but assumed to be bounded. This represents a considerable generalization relative to all previous work where it is assumed that initial values are zero. For the statistical analysis we assume...... the conditional Gaussian likelihood and for the probability analysis we also condition on initial values but assume that the errors in the autoregressive model are i.i.d. with suitable moment conditions. We analyze the conditional likelihood and its derivatives as stochastic processes in the parameters, including...

  20. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    DEFF Research Database (Denmark)

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least square...... estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording....

  1. Beef Supply Response Under Uncertainty: An Autoregressive Distributed Lag Model

    OpenAIRE

    Mbaga, Msafiri Daudi; Coyle, Barry T.

    2003-01-01

    This is the first econometric study of dynamic beef supply response to incorporate risk aversion or, more specifically, price variance. Autoregressive distributed lag (ADL) models are estimated for cow-calf and feedlot operations using aggregate data for Alberta. In all cases, output price variance has a negative impact on output supply and investment. Moreover, the impacts of expected price on supply response are greater in magnitude and significance than in risk-neutral models.

  2. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    OpenAIRE

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least squares estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording.

  3. Nonlinear models for autoregressive conditional heteroskedasticity

    DEFF Research Database (Denmark)

    Teräsvirta, Timo

    This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are...... discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention....

  4. Nonlinear models for autoregressive conditional heteroskedasticity

    OpenAIRE

    Teräsvirta, Timo

    2011-01-01

    This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention.

  5. Integer Valued Autoregressive Models for Tipping Bucket Rainfall Measurements

    DEFF Research Database (Denmark)

    Thyregod, Peter; Carstensen, Niels Jacob; Madsen, Henrik;

    1999-01-01

    A new method for modelling the dynamics of rain sampled by a tipping bucket rain gauge is proposed. The considered models belong to the class of integer valued autoregressive processes. The models take the autocorelation and discrete nature of the data into account. A first order, a second order...... and a threshold model are presented together with methods to estimate the parameters of each model. The models are demonstrated to provide a good description of dt from actual rain events requiring only two to four parameters....

  6. Analysis of nonlinear systems using ARMA [autoregressive moving average] models

    International Nuclear Information System (INIS)

    While many vibration systems exhibit primarily linear behavior, a significant percentage of the systems encountered in vibration and model testing are mildly to severely nonlinear. Analysis methods for such nonlinear systems are not yet well developed and the response of such systems is not accurately predicted by linear models. Nonlinear ARMA (autoregressive moving average) models are one method for the analysis and response prediction of nonlinear vibratory systems. In this paper we review the background of linear and nonlinear ARMA models, and illustrate the application of these models to nonlinear vibration systems. We conclude by summarizing the advantages and disadvantages of ARMA models and emphasizing prospects for future development. 14 refs., 11 figs

  7. Mixture latent autoregressive models for longitudinal data

    CERN Document Server

    Bartolucci, Francesco; Pennoni, Fulvia

    2011-01-01

    Many relevant statistical and econometric models for the analysis of longitudinal data include a latent process to account for the unobserved heterogeneity between subjects in a dynamic fashion. Such a process may be continuous (typically an AR(1)) or discrete (typically a Markov chain). In this paper, we propose a model for longitudinal data which is based on a mixture of AR(1) processes with different means and correlation coefficients, but with equal variances. This model belongs to the class of models based on a continuous latent process, and then it has a natural interpretation in many contexts of application, but it is more flexible than other models in this class, reaching a goodness-of-fit similar to that of a discrete latent process model, with a reduced number of parameters. We show how to perform maximum likelihood estimation of the proposed model by the joint use of an Expectation-Maximisation algorithm and a Newton-Raphson algorithm, implemented by means of recursions developed in the hidden Mark...

  8. Image restoration using 2D autoregressive texture model and structure curve construction

    Science.gov (United States)

    Voronin, V. V.; Marchuk, V. I.; Petrosov, S. P.; Svirin, I.; Agaian, S.; Egiazarian, K.

    2015-05-01

    In this paper an image inpainting approach based on the construction of a composite curve for the restoration of the edges of objects in an image using the concepts of parametric and geometric continuity is presented. It is shown that this approach allows to restore the curved edges and provide more flexibility for curve design in damaged image by interpolating the boundaries of objects by cubic splines. After edge restoration stage, a texture restoration using 2D autoregressive texture model is carried out. The image intensity is locally modeled by a first spatial autoregressive model with support in a strongly causal prediction region on the plane. Model parameters are estimated by Yule-Walker method. Several examples considered in this paper show the effectiveness of the proposed approach for large objects removal as well as recovery of small regions on several test images.

  9. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2012-01-01

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. We give conditions on the parameters...... such that the process X_{t} is fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 0

  10. Vector autoregression, structural equation modeling, and their synthesis in neuroimaging data analysis.

    Science.gov (United States)

    Chen, Gang; Glen, Daniel R; Saad, Ziad S; Paul Hamilton, J; Thomason, Moriah E; Gotlib, Ian H; Cox, Robert W

    2011-12-01

    Vector autoregression (VAR) and structural equation modeling (SEM) are two popular brain-network modeling tools. VAR, which is a data-driven approach, assumes that connected regions exert time-lagged influences on one another. In contrast, the hypothesis-driven SEM is used to validate an existing connectivity model where connected regions have contemporaneous interactions among them. We present the two models in detail and discuss their applicability to FMRI data, and their interpretational limits. We also propose a unified approach that models both lagged and contemporaneous effects. The unifying model, structural vector autoregression (SVAR), may improve statistical and explanatory power, and avoid some prevalent pitfalls that can occur when VAR and SEM are utilized separately.

  11. Planetary Kp index forecast using autoregressive models

    CERN Document Server

    Gonzalez, Arian Ojeda; Odriozola, Siomel Savio; Rosa, Reinaldo Roberto; Mendes, Odim

    2014-01-01

    The geomagnetic Kp index is derived from the K index measurements obtained from thirteen stations located around the Earth geomagnetic latitudes between $48^\\circ$ and $63^\\circ$. This index is processed every three hours, is quasi-logarithmic and estimates the geomagnetic activity. The Kp values fall within a range of 0 to 9 and are organized as a set of 28 discrete values. The data set is important because it is used as one of the many input parameters of magnetospheric and ionospheric models. The objective of this work is to use historical data from the Kp index to develop a methodology to make a prediction in a time interval of at least three hours. Five different models to forecast geomagnetic indices Kp and ap are tested. Time series of values of Kp index from 1932 to 15/12/2012 at 21:00 UT are used as input to the models. The purpose of the model is to predict the three measured values after the last measured value of the Kp index (it means the next 9 hours values). The AR model provides the lowest com...

  12. MAXIMUM LIKELIHOOD ESTIMATION FOR PERIODIC AUTOREGRESSIVE MOVING AVERAGE MODELS.

    Science.gov (United States)

    Vecchia, A.V.

    1985-01-01

    A useful class of models for seasonal time series that cannot be filtered or standardized to achieve second-order stationarity is that of periodic autoregressive moving average (PARMA) models, which are extensions of ARMA models that allow periodic (seasonal) parameters. An approximation to the exact likelihood for Gaussian PARMA processes is developed, and a straightforward algorithm for its maximization is presented. The algorithm is tested on several periodic ARMA(1, 1) models through simulation studies and is compared to moment estimation via the seasonal Yule-Walker equations. Applicability of the technique is demonstrated through an analysis of a seasonal stream-flow series from the Rio Caroni River in Venezuela.

  13. Modeling Monetary Policy Transmission in Acceding Countries : Vector Autoregression Versus Structural Vector Autoregression

    NARCIS (Netherlands)

    Elbourne, Adam; de Haan, Jakob

    2009-01-01

    Using the vector autoregressive methodology, we present estimates of monetary transmission for five new EU member countries in Central and Eastern Europe with more or less flexible exchange rates. We select sample periods to estimate over the longest possible period that can be considered as a singl

  14. Optimal hedging with the cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Gatarek, Lukasz; Johansen, Søren

    We derive the optimal hedging ratios for a portfolio of assets driven by a Coin- tegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated...... horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average...

  15. Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model

    OpenAIRE

    Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; Lambert, Bongani; Taljard, Tjaart; Phiri, Andrew

    2013-01-01

    This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit root tests, our study demonstrates how the stock market indexes evolve as highly persistent, nonlinear process and yet for a majority of the time series under observation, the formal unit root tests rejec...

  16. Probing turbulence intermittency via Auto-Regressive Moving-Average models

    CERN Document Server

    Faranda, Davide; Dubrulle, Berengere; Daviaud, Francois

    2014-01-01

    We suggest a new approach to probing intermittency corrections to the Kolmogorov law in turbulent flows based on the Auto-Regressive Moving-Average modeling of turbulent time series. We introduce a new index $\\Upsilon$ that measures the distance from a Kolmogorov-Obukhov model in the Auto-Regressive Moving-Average models space. Applying our analysis to Particle Image Velocimetry and Laser Doppler Velocimetry measurements in a von K\\'arm\\'an swirling flow, we show that $\\Upsilon$ is proportional to the traditional intermittency correction computed from the structure function. Therefore it provides the same information, using much shorter time series. We conclude that $\\Upsilon$ is a suitable index to reconstruct the spatial intermittency of the dissipation in both numerical and experimental turbulent fields.

  17. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

    OpenAIRE

    CLARK, Todd E.; Francesco Ravazzolo

    2012-01-01

    This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive and Bayesian vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both with constant and time-varying autoregressive coeffi cients), stochastic volatility following a stationary AR process, stochastic volat...

  18. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

    DEFF Research Database (Denmark)

    Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis;

    We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used...... in the analysis of the asympotic properties of the maximum-likelihood estimators of the models. The PARX class of models is used to analyse the time series properties of monthly corporate defaults in the US in the period 1982-2011 using financial and economic variables as exogeneous covariates...... years economic and financial factors at the macro level are capable to explain a large portion of the correlation of US firms defaults over time....

  19. The cointegrated vector autoregressive model with general deterministic terms

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)= Z(t) + Y(t), where Z(t) belongs to a large class...... of deterministic regressors and Y(t) is a zero-mean CVAR. We suggest an extended model that can be estimated by reduced rank regression and give a condition for when the additive and extended models are asymptotically equivalent, as well as an algorithm for deriving the additive model parameters from the extended...... model parameters. We derive asymptotic properties of the maximum likelihood estimators and discuss tests for rank and tests on the deterministic terms. In particular, we give conditions under which the estimators are asymptotically (mixed) Gaussian, such that associated tests are khi squared distributed....

  20. Bias-Correction in Vector Autoregressive Models: A Simulation Study

    Directory of Open Access Journals (Sweden)

    Tom Engsted

    2014-03-01

    Full Text Available We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably worse than bootstrapping. Both methods yield a notable improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that it compares very favorably in non-stationary models.

  1. Autoregressive modelling for rolling element bearing fault diagnosis

    Science.gov (United States)

    Al-Bugharbee, H.; Trendafilova, I.

    2015-07-01

    In this study, time series analysis and pattern recognition analysis are used effectively for the purposes of rolling bearing fault diagnosis. The main part of the suggested methodology is the autoregressive (AR) modelling of the measured vibration signals. This study suggests the use of a linear AR model applied to the signals after they are stationarized. The obtained coefficients of the AR model are further used to form pattern vectors which are in turn subjected to pattern recognition for differentiating among different faults and different fault sizes. This study explores the behavior of the AR coefficients and their changes with the introduction and the growth of different faults. The idea is to gain more understanding about the process of AR modelling for roller element bearing signatures and the relation of the coefficients to the vibratory behavior of the bearings and their condition.

  2. Implementing Modifed Burg Algorithms in Multivariate Subset Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    A. Alexandre Trindade

    2003-02-01

    Full Text Available The large number of parameters in subset vector autoregressive models often leads one to procure fast, simple, and efficient alternatives or precursors to maximum likelihood estimation. We present the solution of the multivariate subset Yule-Walker equations as one such alternative. In recent work, Brockwell, Dahlhaus, and Trindade (2002, show that the Yule-Walker estimators can actually be obtained as a special case of a general recursive Burg-type algorithm. We illustrate the structure of this Algorithm, and discuss its implementation in a high-level programming language. Applications of the Algorithm in univariate and bivariate modeling are showcased in examples. Univariate and bivariate versions of the Algorithm written in Fortran 90 are included in the appendix, and their use illustrated.

  3. Autoregressive model selection with simultaneous sparse coefficient estimation

    CERN Document Server

    Sang, Hailin

    2011-01-01

    In this paper we propose a sparse coefficient estimation procedure for autoregressive (AR) models based on penalized conditional maximum likelihood. The penalized conditional maximum likelihood estimator (PCMLE) thus developed has the advantage of performing simultaneous coefficient estimation and model selection. Mild conditions are given on the penalty function and the innovation process, under which the PCMLE satisfies a strong consistency, local $N^{-1/2}$ consistency, and oracle property, respectively, where N is sample size. Two penalty functions, least absolute shrinkage and selection operator (LASSO) and smoothly clipped average deviation (SCAD), are considered as examples, and SCAD is shown to have better performances than LASSO. A simulation study confirms our theoretical results. At the end, we provide an application of our method to a historical price data of the US Industrial Production Index for consumer goods, and the result is very promising.

  4. Testing stability in a spatial unilateral autoregressive model

    CERN Document Server

    Baran, Sándor; Sikolya, Kinga

    2012-01-01

    Least squares estimator of the stability parameter $\\varrho := |\\alpha| + |\\beta|$ for a spatial unilateral autoregressive process $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\varepsilon_{k,\\ell}$ is investigated. Asymptotic normality with a scaling factor $n^{5/4}$ is shown in the unstable case, i.e., when $\\varrho = 1$, in contrast to the AR(p) model $X_k=\\alpha_1 X_{k-1}+... +\\alpha_p X_{k-p}+ \\varepsilon_k$, where the least squares estimator of the stability parameter $\\varrho :=\\alpha_1 + ... + \\alpha_p$ is not asymptotically normal in the unstable, i.e., in the unit root case.

  5. Parameter estimation in a spatial unit root autoregressive model

    CERN Document Server

    Baran, Sándor

    2011-01-01

    Spatial autoregressive model $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\gamma X_{k-1,\\ell-1}+\\epsilon_{k,\\ell}$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices $(1,1,-1), \\ (1,-1,1),\\ (-1,1,1)$ and $(-1,-1,-1)$. It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is $n$ when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is $n^{3/2}$.

  6. Ozone Concentration Prediction via Spatiotemporal Autoregressive Model With Exogenous Variables

    Science.gov (United States)

    Kamoun, W.; Senoussi, R.

    2009-04-01

    Forecast of environmental variables are nowadays of main concern for public health or agricultural management. In this context a large literature is devoted to spatio-temporal modelling of these variables using different statistical approaches. However, most of studies ignored the potential contribution of local (e.g. meteorological and/or geographical) covariables as well as the dynamical characteristics of observations. In this study, we present a spatiotemporal short term forecasting model for ozone concentration based on regularly observed covariables in predefined geographical sites. Our driving system simply combines a multidimensional second order autoregressive structured process with a linear regression model over influent exogenous factors and reads as follows: ‘2 ‘q j Z (t) = A (Î&,cedil;D )Ã- [ αiZ(t- i)]+ B (Î&,cedil;D )Ã- [ βjX (t)]+ ɛ(t) i=1 j=1 Z(t)=(Z1(t),…,Zn(t)) represents the vector of ozone concentration at time t of the n geographical sites, whereas Xj(t)=(X1j(t),…,Xnj(t)) denotes the jth exogenous variable observed over these sites. The nxn matrix functions A and B account for the spatial relationships between sites through the inter site distance matrix D and a vector parameter Î&.cedil; Multidimensional white noise ɛ is assumed to be Gaussian and spatially correlated but temporally independent. A covariance structure of Z that takes account of noise spatial dependences is deduced under a stationary hypothesis and then included in the likelihood function. Statistical model and estimation procedure: Contrarily to the widely used choice of a {0,1}-valued neighbour matrix A, we put forward two more natural choices of exponential or power decay. Moreover, the model revealed enough stable to readily accommodate the crude observations without the usual tedious and somewhat arbitrarily variable transformations. Data set and preliminary analysis: In our case, ozone variable represents here the daily maximum ozone

  7. Identification of Input Nonlinear Control Autoregressive Systems Using Fractional Signal Processing Approach

    Science.gov (United States)

    Chaudhary, Naveed Ishtiaq; Raja, Muhammad Asif Zahoor; Khan, Junaid Ali; Aslam, Muhammad Saeed

    2013-01-01

    A novel algorithm is developed based on fractional signal processing approach for parameter estimation of input nonlinear control autoregressive (INCAR) models. The design scheme consists of parameterization of INCAR systems to obtain linear-in-parameter models and to use fractional least mean square algorithm (FLMS) for adaptation of unknown parameter vectors. The performance analyses of the proposed scheme are carried out with third-order Volterra least mean square (VLMS) and kernel least mean square (KLMS) algorithms based on convergence to the true values of INCAR systems. It is found that the proposed FLMS algorithm provides most accurate and convergent results than those of VLMS and KLMS under different scenarios and by taking the low-to-high signal-to-noise ratio. PMID:23853538

  8. Identification of Input Nonlinear Control Autoregressive Systems Using Fractional Signal Processing Approach

    Directory of Open Access Journals (Sweden)

    Naveed Ishtiaq Chaudhary

    2013-01-01

    Full Text Available A novel algorithm is developed based on fractional signal processing approach for parameter estimation of input nonlinear control autoregressive (INCAR models. The design scheme consists of parameterization of INCAR systems to obtain linear-in-parameter models and to use fractional least mean square algorithm (FLMS for adaptation of unknown parameter vectors. The performance analyses of the proposed scheme are carried out with third-order Volterra least mean square (VLMS and kernel least mean square (KLMS algorithms based on convergence to the true values of INCAR systems. It is found that the proposed FLMS algorithm provides most accurate and convergent results than those of VLMS and KLMS under different scenarios and by taking the low-to-high signal-to-noise ratio.

  9. A fuzzy-autoregressive model of daily river flows

    Science.gov (United States)

    Greco, Roberto

    2012-06-01

    A model for the identification of daily river flows has been developed, consisting of the combination of an autoregressive model with a fuzzy inference system. The AR model is devoted to the identification of base flow, supposed to be described by linear laws. The fuzzy model identifies the surface runoff, by applying a small set of linguistic statements, deriving from the knowledge of the physical features of the nonlinear rainfall-runoff transformation, to the inflow entering the river basin. The model has been applied to the identification of the daily flow series of river Volturno at Cancello-Arnone (Southern Italy), with a drainage basin of around 5560 km2, observed between 1970 and 1974. The inflow was estimated on the basis of daily precipitations registered during the same years at six rain gauges located throughout the basin. The first two years were used for model training, the remaining three for the validation. The obtained results show that the proposed model provides good predictions of either low river flows or high floods, although the analysis of residuals, which do not turn out to be a white noise, indicates that the cause and effect relationship between rainfall and runoff is not completely identified by the model.

  10. Modeling of uncertain spectra through stochastic autoregressive systems

    Science.gov (United States)

    Wang, Yiwei; Wang, X. Q.; Mignolet, Marc P.; Yang, Shuchi; Chen, P. C.

    2016-03-01

    The focus of this investigation is on the formulation and validation of a modeling strategy of the uncertainty that may exist on the specification of the power spectral density of scalar stationary processes and on the spectral matrices of vector ones. These processes may, for example, be forces on a structure originating from natural phenomena which are coarsely modeled (i.e., with epistemic uncertainty) or are specified by parameters unknown (i.e., with aleatoric uncertainty) in the application considered. The propagation of the uncertainty, e.g., to the response of the structure, may be carried out provided that a stochastic model of the uncertainty in the power spectral density/matrix is available from which admissible samples can be efficiently generated. Such a stochastic model will be developed here through an autoregressive-based parameterization of the specified baseline power spectral density/matrix and of its random samples. Autoregressive (AR) models are particularly well suited for this parametrization since their spectra are known to converge to a broad class of spectra (all non-pathological spectra) as the AR order increases. Note that the characterization of these models is not achieved directly in terms of their coefficients but rather in terms of their reflection coefficients which lie (or their eigenvalues in the vector process case) in the domain [0,1) as a necessary and sufficient condition for stability. Maximum entropy concepts are then employed to formulate the distribution of the reflection coefficients in both scalar and vector process case leading to a small set of hyperparameters of the uncertain model. Depending on the information available, these hyperparameters could either be varied in a parametric study format to assess the effects of uncertainty or could be identified, e.g., in a maximum likelihood format, from observed data. The validation and assessment of these concepts is finally achieved on several examples including the

  11. Trans-dimensional inversion of microtremor array dispersion data with hierarchical autoregressive error models

    Science.gov (United States)

    Dettmer, Jan; Molnar, Sheri; Steininger, Gavin; Dosso, Stan E.; Cassidy, John F.

    2012-02-01

    This paper applies a general trans-dimensional Bayesian inference methodology and hierarchical autoregressive data-error models to the inversion of microtremor array dispersion data for shear wave velocity (vs) structure. This approach accounts for the limited knowledge of the optimal earth model parametrization (e.g. the number of layers in the vs profile) and of the data-error statistics in the resulting vs parameter uncertainty estimates. The assumed earth model parametrization influences estimates of parameter values and uncertainties due to different parametrizations leading to different ranges of data predictions. The support of the data for a particular model is often non-unique and several parametrizations may be supported. A trans-dimensional formulation accounts for this non-uniqueness by including a model-indexing parameter as an unknown so that groups of models (identified by the indexing parameter) are considered in the results. The earth model is parametrized in terms of a partition model with interfaces given over a depth-range of interest. In this work, the number of interfaces (layers) in the partition model represents the trans-dimensional model indexing. In addition, serial data-error correlations are addressed by augmenting the geophysical forward model with a hierarchical autoregressive error model that can account for a wide range of error processes with a small number of parameters. Hence, the limited knowledge about the true statistical distribution of data errors is also accounted for in the earth model parameter estimates, resulting in more realistic uncertainties and parameter values. Hierarchical autoregressive error models do not rely on point estimates of the model vector to estimate data-error statistics, and have no requirement for computing the inverse or determinant of a data-error covariance matrix. This approach is particularly useful for trans-dimensional inverse problems, as point estimates may not be representative of the

  12. The comparison study among several data transformations in autoregressive modeling

    Science.gov (United States)

    Setiyowati, Susi; Waluyo, Ramdhani Try

    2015-12-01

    In finance, the adjusted close of stocks are used to observe the performance of a company. The extreme prices, which may increase or decrease drastically, are often become particular concerned since it can impact to bankruptcy. As preventing action, the investors have to observe the future (forecasting) stock prices comprehensively. For that purpose, time series analysis could be one of statistical methods that can be implemented, for both stationary and non-stationary processes. Since the variability process of stocks prices tend to large and also most of time the extreme values are always exist, then it is necessary to do data transformation so that the time series models, i.e. autoregressive model, could be applied appropriately. One of popular data transformation in finance is return model, in addition to ratio of logarithm and some others Tukey ladder transformation. In this paper these transformations are applied to AR stationary models and non-stationary ARCH and GARCH models through some simulations with varying parameters. As results, this work present the suggestion table that shows transformations behavior for some condition of parameters and models. It is confirmed that the better transformation is obtained, depends on type of data distributions. In other hands, the parameter conditions term give significant influence either.

  13. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior.

  14. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior. PMID:27093380

  15. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for time...

  16. A Score Type Test for General Autoregressive Models in Time Series

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu

    2007-01-01

    This paper is devoted to the goodness-of-fit test for the general autoregressive models in time series. By averaging for the weighted residuals, we construct a score type test which is asymptotically standard chi-squared under the null and has some desirable power properties under the alternatives. Specifically, the test is sensitive to alternatives and can detect the alternatives approaching, along a direction, the null at a rate that is arbitrarily close to n-1/2. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. The performance of the tests is evaluated through simulation studies.

  17. Robust nonlinear autoregressive moving average model parameter estimation using stochastic recurrent artificial neural networks

    DEFF Research Database (Denmark)

    Chon, K H; Hoyer, D; Armoundas, A A;

    1999-01-01

    In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...... error is obtained by subtracting the corrupt signal of the estimated ARMA model obtained via the deterministic estimation step from the system output response. We present computer simulation examples to show the efficacy of the proposed stochastic recurrent neural network approach in obtaining accurate...

  18. A Note on Parameter Estimations of Panel Vector Autoregressive Models with Intercorrelation

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu; Zai-xing Li

    2009-01-01

    This note considers parameter estimation for panel vector autoregressive models with intercorrela-tion. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.

  19. A revival of the autoregressive distributed lag model in estimating energy demand relationships

    Energy Technology Data Exchange (ETDEWEB)

    Bentzen, J.; Engsted, T.

    1999-07-01

    The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)

  20. Bias-correction in vector autoregressive models: A simulation study

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that this simple and...

  1. A NEW TEST FOR NORMALITY IN LINEAR AUTOREGRESSIVE MODELS

    Institute of Scientific and Technical Information of China (English)

    CHEN Min; WU Guofu; Gemai Chen

    2002-01-01

    A nonparametric test for normality of linear autoregressive time series isproposed in this paper. The test is based on the best one-step forecast in mean squarewith time reverse. Some asymptotic theory is developed for the test, and it is shown thatthe test is easy to use and has good powers. The empirical percentage points to conductthe test in practice are provided and three examples using real data are included.

  2. Self-organising mixture autoregressive model for non-stationary time series modelling.

    Science.gov (United States)

    Ni, He; Yin, Hujun

    2008-12-01

    Modelling non-stationary time series has been a difficult task for both parametric and nonparametric methods. One promising solution is to combine the flexibility of nonparametric models with the simplicity of parametric models. In this paper, the self-organising mixture autoregressive (SOMAR) network is adopted as a such mixture model. It breaks time series into underlying segments and at the same time fits local linear regressive models to the clusters of segments. In such a way, a global non-stationary time series is represented by a dynamic set of local linear regressive models. Neural gas is used for a more flexible structure of the mixture model. Furthermore, a new similarity measure has been introduced in the self-organising network to better quantify the similarity of time series segments. The network can be used naturally in modelling and forecasting non-stationary time series. Experiments on artificial, benchmark time series (e.g. Mackey-Glass) and real-world data (e.g. numbers of sunspots and Forex rates) are presented and the results show that the proposed SOMAR network is effective and superior to other similar approaches. PMID:19145663

  3. Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model

    International Nuclear Information System (INIS)

    We examine the dependence between the volatility of the prices of the carbon dioxide “CO2” emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the SCAR (Stochastic Autoregressive) Copulas, which is a time varying copula that was first introduced by Hafner and Manner (2012) [1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with EIS (Efficient Importance Sampling) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils. - Highlights: • We examine the dependence between the volatility of CO2 emissions and energy prices. • The dependence will be measured by the dynamic SCAR copula pair by pair. • To model the marginal distributions of the variables, we use the GAS model. • To evaluate high dimensional integral in the likelihood function we use EIS method. • The dependence is dynamic and varies over time especially in period of crisis

  4. Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks

    OpenAIRE

    Katsuhiro Sugita

    2015-01-01

    In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. We find strong evidence of three structural breaks using the US data.

  5. Effects of US Monetary Policy Shocks During Financial Crises - A Threshold Vector Autoregression Approach

    OpenAIRE

    Jasmine Zheng

    2013-01-01

    This paper analyzes the impact and effectiveness of conventional monetary policy during periods of low and high financial stress in the US economy. Using data from 1973Q1 to 2008Q4, the analysis is conducted by estimating a Threshold Vector Autoregression (TVAR) model to capture switching between the low and high financial stress regimes implied by the theoretical literature. The empirical findings support regime-dependent effects of conventional US monetary policy. In particular, the output ...

  6. A Comparison of Inverse-Wishart Prior Specifications for Covariance Matrices in Multilevel Autoregressive Models.

    Science.gov (United States)

    Schuurman, N K; Grasman, R P P P; Hamaker, E L

    2016-01-01

    Multilevel autoregressive models are especially suited for modeling between-person differences in within-person processes. Fitting these models with Bayesian techniques requires the specification of prior distributions for all parameters. Often it is desirable to specify prior distributions that have negligible effects on the resulting parameter estimates. However, the conjugate prior distribution for covariance matrices-the Inverse-Wishart distribution-tends to be informative when variances are close to zero. This is problematic for multilevel autoregressive models, because autoregressive parameters are usually small for each individual, so that the variance of these parameters will be small. We performed a simulation study to compare the performance of three Inverse-Wishart prior specifications suggested in the literature, when one or more variances for the random effects in the multilevel autoregressive model are small. Our results show that the prior specification that uses plug-in ML estimates of the variances performs best. We advise to always include a sensitivity analysis for the prior specification for covariance matrices of random parameters, especially in autoregressive models, and to include a data-based prior specification in this analysis. We illustrate such an analysis by means of an empirical application on repeated measures data on worrying and positive affect.

  7. Modeling the cardiovascular system using a nonlinear additive autoregressive model with exogenous input

    Science.gov (United States)

    Riedl, M.; Suhrbier, A.; Malberg, H.; Penzel, T.; Bretthauer, G.; Kurths, J.; Wessel, N.

    2008-07-01

    The parameters of heart rate variability and blood pressure variability have proved to be useful analytical tools in cardiovascular physics and medicine. Model-based analysis of these variabilities additionally leads to new prognostic information about mechanisms behind regulations in the cardiovascular system. In this paper, we analyze the complex interaction between heart rate, systolic blood pressure, and respiration by nonparametric fitted nonlinear additive autoregressive models with external inputs. Therefore, we consider measurements of healthy persons and patients suffering from obstructive sleep apnea syndrome (OSAS), with and without hypertension. It is shown that the proposed nonlinear models are capable of describing short-term fluctuations in heart rate as well as systolic blood pressure significantly better than similar linear ones, which confirms the assumption of nonlinear controlled heart rate and blood pressure. Furthermore, the comparison of the nonlinear and linear approaches reveals that the heart rate and blood pressure variability in healthy subjects is caused by a higher level of noise as well as nonlinearity than in patients suffering from OSAS. The residue analysis points at a further source of heart rate and blood pressure variability in healthy subjects, in addition to heart rate, systolic blood pressure, and respiration. Comparison of the nonlinear models within and among the different groups of subjects suggests the ability to discriminate the cohorts that could lead to a stratification of hypertension risk in OSAS patients.

  8. Implementing Bayesian Vector Autoregressions Implementing Bayesian Vector Autoregressions

    Directory of Open Access Journals (Sweden)

    Richard M. Todd

    1988-03-01

    Full Text Available Implementing Bayesian Vector Autoregressions This paper discusses how the Bayesian approach can be used to construct a type of multivariate forecasting model known as a Bayesian vector autoregression (BVAR. In doing so, we mainly explain Doan, Littermann, and Sims (1984 propositions on how to estimate a BVAR based on a certain family of prior probability distributions. indexed by a fairly small set of hyperparameters. There is also a discussion on how to specify a BVAR and set up a BVAR database. A 4-variable model is used to iliustrate the BVAR approach.

  9. Goodness-of-fit tests for vector autoregressive models in time series

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    The paper proposes and studies some diagnostic tools for checking the goodness-of-fit of general parametric vector autoregressive models in time series. The resulted tests are asymptotically chi-squared under the null hypothesis and can detect the alternatives converging to the null at a parametric rate. The tests involve weight functions,which provides us with the flexibility to choose scores for enhancing power performance,especially under directional alternatives. When the alternatives are not directional,we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. In addition,when the sample size is small,a nonparametric Monte Carlo test approach for dependent data is proposed to improve the performance of the tests. The algorithm is easy to implement. Simulation studies and real applications are carried out for illustration.

  10. Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Kapetanios, George

    We address the issue of modelling and forecasting macroeconomic variables using rich datasets, by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares...

  11. Blind identification of threshold auto-regressive model for machine fault diagnosis

    Institute of Scientific and Technical Information of China (English)

    LI Zhinong; HE Yongyong; CHU Fulei; WU Zhaotong

    2007-01-01

    A blind identification method was developed for the threshold auto-regressive (TAR) model. The method had good identification accuracy and rapid convergence, especially for higher order systems. The proposed method was then combined with the hidden Markov model (HMM) to determine the auto-regressive (AR) coefficients for each interval used for feature extraction, with the HMM as a classifier. The fault diagnoses during the speed-up and speed- down processes for rotating machinery have been success- fully completed. The result of the experiment shows that the proposed method is practical and effective.

  12. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... in the economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR...

  13. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... in the economic model implies the econometric concept of strong exogeneity for ß. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment...

  14. Autoregressive spatial analysis and individual tree modeling as strategies for the management of Eremanthus erythropappus

    Institute of Scientific and Technical Information of China (English)

    Henrique Ferraco Scolforo; Jose Roberto Soares Scolforo; Jose Marcio de Mello; Antonio Carlos Ferraz Filho; Diogo Francisco Rossoni; Thiza Falqueto Altoe; Antonio Donizette Oliveira; Renato Ribeiro de Lima

    2016-01-01

    The objectives of this study were to apply statistical techniques to discriminate fertilization treat-ments of Eremanthus erythropappus (DC.) MacLeish. through autoregressive modeling, and to develop individual tree models for diameter and crown area (CA) projection to define management strategies for candeia plantations sub-jected to different fertilization treatments. This is an important tree species originating from the Brazilian Atlantic Rain forest and Savannah biomes, intensively used in the cosmetic industry. Nonetheless, to date, research has not addressed the management of natural stands or plan-tations of the species. Our experiment was located in Baependi, Minas Gerais, Brazil, and comprised of four randomized blocks and 13 treatments. The treatments consisted of 12 different regimes of fertilization plus a control. Each sample plot was composed of 50 plants plus two border plants in a planting spacing of 2.5 9 2.0 m and undergoing pruning at 5 and 6 years of age. Starting in the second year, total tree height (H) and circumference (at 1.30 m from the ground or breast height, CBH) were measured every 6 months. Starting in the fifth year CA was measured. Tree growth varied by fertilization strategy. Differences were detected by using an autoregressive approach, considering that standard statistical methods were not powerful enough to detect significant differences. Three growth groups were formed, and maximum growth was obtained for treatment 10 (NPK, 8-28-16). Manage-ment guidelines are provided based on individual tree models for different fertilization levels.

  15. Fitting multistate transition models with autoregressive logistic regression : Supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, SO; Fidler, [No Value; Kuipers, WD; Hunink, MGM

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a six

  16. Fitting multi-state transition models with autoregressive logistic regression : supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, S.O.; Fidler, V.; Kuipers, W.D.; Hunink, M.G.

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a six

  17. Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network

    CERN Document Server

    Chattopadhyay, Goutami; 10.1140/epjp/i2012-12043-9

    2012-01-01

    This study reports a statistical analysis of monthly sunspot number time series and observes non homogeneity and asymmetry within it. Using Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR(p) and autoregressive moving average (ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of p and q respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).

  18. A Study of Wind Statistics Through Auto-Regressive and Moving-Average (ARMA) Modeling

    Institute of Scientific and Technical Information of China (English)

    尹彰; 周宗仁

    2001-01-01

    Statistical properties of winds near the Taichung Harbour are investigated. The 26 years′incomplete data of wind speeds, measured on an hourly basis, are used as reference. The possibility of imputation using simulated results of the Auto-Regressive (AR), Moving-Average (MA), and/or Auto-Regressive and Moving-Average (ARMA) models is studied. Predictions of the 25-year extreme wind speeds based upon the augmented data are compared with the original series. Based upon the results, predictions of the 50- and 100-year extreme wind speeds are then made.

  19. Bayesian inversion of microtremor array dispersion data with hierarchical trans-dimensional earth and autoregressive error models

    Science.gov (United States)

    Molnar, S.; Dettmer, J.; Steininger, G.; Dosso, S. E.; Cassidy, J. F.

    2013-12-01

    This paper applies hierarchical, trans-dimensional Bayesian models for earth and residual-error parametrizations to the inversion of microtremor array dispersion data for shear-wave velocity (Vs) structure. The earth is parametrized in terms of flat-lying, homogeneous layers and residual errors are parametrized with a first-order autoregressive data-error model. The inversion accounts for the limited knowledge of the optimal earth and residual error model parametrization (e.g. the number of layers in the Vs profile) in the resulting Vs parameter uncertainty estimates. The assumed earth model parametrization influences estimates of parameter values and uncertainties due to different parametrizations leading to different ranges of data predictions. The support of the data for a particular model is often non-unique and several parametrizations may be supported. A trans-dimensional formulation accounts for this non-uniqueness by including a model-indexing parameter as an unknown so that groups of models (identified by the index) are considered in the results. In addition, serial residual-error correlations are addressed by augmenting the geophysical forward model with a hierarchical autoregressive error model that can account for a wide range of error processes with a small number of parameters. Hence, the limited knowledge about the true statistical distribution of data errors is also accounted for in the earth model parameter estimates, resulting in more realistic uncertainties and parameter values. Hierarchical autoregressive error models do not rely on point estimates of the model vector to estimate residual-error statistics, and have no requirement for computing the inverse or determinant of a covariance matrix. This approach is particularly useful for trans-dimensional inverse problems, as point estimates may not be representative of the state space that spans multiple subspaces of different dimensions. The autoregressive process is restricted to first order and

  20. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL Approach

    Directory of Open Access Journals (Sweden)

    Helen Higgs

    2014-03-01

    Full Text Available This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL approach. We particularly focus on the impact of the global financial crisis (GFC from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets: owneroccupied housing loans (Sep 1985–June 2010, term loans (for motor vehicles, household goods and debt consolidation, etc. (Dec 1988–Jun 2010, credit card loans (Mar 1990–Jun 2010, and margin loans (Sep 2000–Jun 2010. Other than the indicator lending rates and annual full-time earnings respectively used as proxies for the price and income effects, we specify a large number of other variables as demand factors, particularly reflecting the value of the asset for which retail finance demand is derived. These variously include the yield on indexed bonds as a proxy for inflation expectations, median housing prices, consumer sentiment indices as measures of consumer confidence, motor vehicle and retail trade sales, housing debt-to-housing assets as a measure of leverage, the proportion of protected margin lending, the available credit limit on credit cards, and the All Ordinaries Index. In the long run, we find significant price elasticities only for term loans and margin loans, and significant income elasticities of demand for housing loans, term loans and margin loans. We also find that the GFC only significantly affected the longrun demand for term loans and margin loans. In the short run, we find that the GFC has had a significant effect on the price elasticity of demand for term loans and margin loans. Expected inflation is also a key factor affecting retail finance demand. Overall, most of the submarkets in the analysis indicate that retail finance demand is certainly price inelastic but more income elastic than conventionally thought.

  1. Modelling the progression of bird migration with conditional autoregressive models applied to ringing data.

    Directory of Open Access Journals (Sweden)

    Roberto Ambrosini

    Full Text Available Migration is a fundamental stage in the life history of several taxa, including birds, and is under strong selective pressure. At present, the only data that may allow for both an assessment of patterns of bird migration and for retrospective analyses of changes in migration timing are the databases of ring recoveries. We used ring recoveries of the Barn Swallow Hirundo rustica collected from 1908-2008 in Europe to model the calendar date at which a given proportion of birds is expected to have reached a given geographical area ('progression of migration' and to investigate the change in timing of migration over the same areas between three time periods (1908-1969, 1970-1990, 1991-2008. The analyses were conducted using binomial conditional autoregressive (CAR mixed models. We first concentrated on data from the British Isles and then expanded the models to western Europe and north Africa. We produced maps of the progression of migration that disclosed local patterns of migration consistent with those obtained from the analyses of the movements of ringed individuals. Timing of migration estimated from our model is consistent with data on migration phenology of the Barn Swallow available in the literature, but in some cases it is later than that estimated by data collected at ringing stations, which, however, may not be representative of migration phenology over large geographical areas. The comparison of median migration date estimated over the same geographical area among time periods showed no significant advancement of spring migration over the whole of Europe, but a significant advancement of autumn migration in southern Europe. Our modelling approach can be generalized to any records of ringing date and locality of individuals including those which have not been recovered subsequently, as well as to geo-referenced databases of sightings of migratory individuals.

  2. The Performance of Multilevel Growth Curve Models under an Autoregressive Moving Average Process

    Science.gov (United States)

    Murphy, Daniel L.; Pituch, Keenan A.

    2009-01-01

    The authors examined the robustness of multilevel linear growth curve modeling to misspecification of an autoregressive moving average process. As previous research has shown (J. Ferron, R. Dailey, & Q. Yi, 2002; O. Kwok, S. G. West, & S. B. Green, 2007; S. Sivo, X. Fan, & L. Witta, 2005), estimates of the fixed effects were unbiased, and Type I…

  3. Compact and accurate linear and nonlinear autoregressive moving average model parameter estimation using laguerre functions

    DEFF Research Database (Denmark)

    Chon, K H; Cohen, R J; Holstein-Rathlou, N H

    1997-01-01

    A linear and nonlinear autoregressive moving average (ARMA) identification algorithm is developed for modeling time series data. The algorithm uses Laguerre expansion of kernals (LEK) to estimate Volterra-Wiener kernals. However, instead of estimating linear and nonlinear system dynamics via movi...

  4. Search for periodicities in experimental data using an autoregression data model

    CERN Document Server

    Belashev, B Z

    2001-01-01

    To process data obtained during interference experiments in high-energy physics, methods of spectral analysis are employed. Methods of spectral analysis, in which an autoregression model of experimental data is used, such as the maximum entropy technique as well as Pisarenko and Prony's method, are described. To show the potentials of the methods, experimental and simulated hummed data are discussed as an example.

  5. Time-varying autoregressive modelling for nonstationary acoustic signal and its frequency analysis

    Science.gov (United States)

    Sodsri, Chukiet

    2003-06-01

    A time-varying autoregressive (TVAR) approach is used for modeling nonstationary signals, and frequency information is then extracted from the TVAR parameters. Two methods may be used for estimating the TVAR parameters: the adaptive algorithm approach and the basis function approach. Adaptive algorithms, such as the least mean square (LMS) and the recursive least square (RLS), use a dynamic model for adapting the TVAR parameters and are capable of tracking time-varying frequency, provided that the variation is slow. It is observed that, if the signals have a single time-frequency component, the RLS with a fixed pole on the unit circle yields the fastest convergence. The basis function method employs an explicit model for the TVAR parameter variation, and model parameters are estimated via a block calculation. We proposed a modification to the basis function method by utilizing both forward and backward predictors for estimating the time-varying spectral density of nonstationary signals. It is shown that our approach yields better accuracy than the existing basis function approach, which uses only the forward predictor. The selection of the basis functions and limitations are also discussed in this thesis. Finally, the proposed approach is applied to analyze violin vibrato. Our results showed superior frequency resolution and spectral line smoothness using the proposed approach, compared to conventional analysis with the short time Fourier transform (STFT) whose frequency resolution is very limited. It was also found that frequency modulation of vibrato occurs at the rate of 6 Hz, and the frequency variations for each partial are different and increase nonlinearly with the partial number.

  6. On vector autoregressive modeling in space and time

    Science.gov (United States)

    di Giacinto, Valter

    2010-06-01

    Despite the fact that it provides a potentially useful analytical tool, allowing for the joint modeling of dynamic interdependencies within a group of connected areas, until lately the VAR approach had received little attention in regional science and spatial economic analysis. This paper aims to contribute in this field by dealing with the issues of parameter identification and estimation and of structural impulse response analysis. In particular, there is a discussion of the adaptation of the recursive identification scheme (which represents one of the more common approaches in the time series VAR literature) to a space-time environment. Parameter estimation is subsequently based on the Full Information Maximum Likelihood (FIML) method, a standard approach in structural VAR analysis. As a convenient tool to summarize the information conveyed by regional dynamic multipliers with a specific emphasis on the scope of spatial spillover effects, a synthetic space-time impulse response function (STIR) is introduced, portraying average effects as a function of displacement in time and space. Asymptotic confidence bands for the STIR estimates are also derived from bootstrap estimates of the standard errors. Finally, to provide a basic illustration of the methodology, the paper presents an application of a simple bivariate fiscal model fitted to data for Italian NUTS 2 regions.

  7. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    FEI WanChun; BAI Lun

    2009-01-01

    In this paper,autocovariance nonstationary time series is clearly defined on a family of time series.We propose three types of TVPAR (time-varying parameter auto-regressive) models:the full order TVPAR model,the time-unvarying order TVPAR model and the time-varying order TVPAR model for autocovariance nonstationary time series.Related minimum AIC (Akaike information criterion) estimations are carried out.

  8. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.

  9. Experimental designs for autoregressive models applied to industrial maintenance

    International Nuclear Information System (INIS)

    Some time series applications require data which are either expensive or technically difficult to obtain. In such cases scheduling the points in time at which the information should be collected is of paramount importance in order to optimize the resources available. In this paper time series models are studied from a new perspective, consisting in the use of Optimal Experimental Design setup to obtain the best times to take measurements, with the principal aim of saving costs or discarding useless information. The model and the covariance function are expressed in an explicit form to apply the usual techniques of Optimal Experimental Design. Optimal designs for various approaches are computed and their efficiencies are compared. The methods working in an application of industrial maintenance of a critical piece of equipment at a petrochemical plant are shown. This simple model allows explicit calculations in order to show openly the procedure to find the correlation structure, needed for computing the optimal experimental design. In this sense the techniques used in this paper to compute optimal designs may be transferred to other situations following the ideas of the paper, but taking into account the increasing difficulty of the procedure for more complex models. - Highlights: • Optimal experimental design theory is applied to AR models to reduce costs. • The first observation has an important impact on any optimal design. • Either the lack of precision or small starting observations claim for large times. • Reasonable optimal times were obtained relaxing slightly the efficiency. • Optimal designs were computed in a predictive maintenance context

  10. Settlement Prediction for Buildings Surrounding Foundation Pits Based on a Stationary Auto-regression Model

    Institute of Scientific and Technical Information of China (English)

    TIAN Lin-ya; HUA Xi-sheng

    2007-01-01

    To ensure the safety of buildings surrounding foundation pits, a study was made on a settlement monitoring and trend prediction method. A statistical testing method for analyzing the stability of a settlement monitoring datum has been discussed. According to a comprehensive survey, data of 16 stages at operating control point, were verified by a standard t test to determine the stability of the operating control point. A stationary auto-regression model, AR(p), used for the observation point settlement prediction has been investigated. Given the 16 stages of the settlement data at an observation point, the applicability of this model was analyzed. Settlement of last four stages was predicted using the stationary auto-regression model AR (1); the maximum difference between predicted and measured values was 0.6 mm,indicating good prediction results of the model. Hence, this model can be applied to settlement predictions for buildings surrounding foundation pits.

  11. Predicting heartbeat arrival time for failure detection over internet using auto-regressive exogenous model

    Institute of Scientific and Technical Information of China (English)

    Zhao Haijun; Ma Yan; Huang Xiaohong; Su Yujie

    2008-01-01

    Predicting heartbeat message arrival time is crucial for the quality of failure detection service over internet. However, internet dynamic characteristics make it very difficult to understand message behavior and accurately predict heartbeat arrival time. To solve this problem, a novel black-box model is proposed to predict the next heartbeat arrival time. Heartbeat arrival time is modeled as auto-regressive process, heartbeat sending time is modeled as exogenous variable, the model's coefficients are estimated based on the sliding window of observations and this result is used to predict the next heartbeat arrival time. Simulation shows that this adaptive auto-regressive exogenous (ARX) model can accurately capture heartbeat arrival dynamics and minimize prediction error in different network environments.

  12. Two-dimensional minimum free energy autoregressive parametric modelling and spectral estimation

    OpenAIRE

    Kiernan, P.

    1995-01-01

    We present a new high resolution spectral estimation method. This method is a 2-D extension of the Minimum Free Energy (MFE) parameter estimation technique based on extension of the multidimensional Levinson method Our 2-D MFE technique determines autoregressive (AR) models for 2-D fields MFE-AR models may be used for 2-D spectral estimation. The performance of the technique for spectral estimation of closely spaced 2-D sinusoids in white noise is demonstrated by numerical example. Experi...

  13. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

    DEFF Research Database (Denmark)

    Nonejad, Nima

    We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...... Carlo simulations evaluate the properties of the estimation procedures. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is accounted for by employing Bayesian model averaging. Bayesian model averaging provides very competitive...... forecasts compared to any single model specification. It provides further improvements when we average over nonlinear specifications....

  14. Thresholds and Smooth Transitions in Vector Autoregressive Models

    DEFF Research Database (Denmark)

    Hubrich, Kirstin; Teräsvirta, Timo

    This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed...... in the equations. The emphasis is on stationary models, but the considerations also include nonstationary Vector Threshold Regression and Vector Smooth Transition Regression models with cointegrated variables. Model specification, estimation and evaluation is considered, and the use of the models illustrated...

  15. A Hybrid Short-Term Power Load Forecasting Model Based on the Singular Spectrum Analysis and Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Hongze Li

    2014-01-01

    Full Text Available Short-term power load forecasting is one of the most important issues in the economic and reliable operation of electricity power system. Taking the characteristics of randomness, tendency, and periodicity of short-term power load into account, a new method (SSA-AR model which combines the univariate singular spectrum analysis and autoregressive model is proposed. Firstly, the singular spectrum analysis (SSA is employed to decompose and reconstruct the original power load series. Secondly, the autoregressive (AR model is used to forecast based on the reconstructed power load series. The employed data is the hourly power load series of the Mid-Atlantic region in PJM electricity market. Empirical analysis result shows that, compared with the single autoregressive model (AR, SSA-based linear recurrent method (SSA-LRF, and BPNN (backpropagation neural network model, the proposed SSA-AR method has a better performance in terms of short-term power load forecasting.

  16. Granger Causality in Multi-variate Time Series using a Time Ordered Restricted Vector Autoregressive Model

    CERN Document Server

    Siggiridou, Elsa

    2015-01-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different t...

  17. Granger Causality in Multivariate Time Series Using a Time-Ordered Restricted Vector Autoregressive Model

    Science.gov (United States)

    Siggiridou, Elsa; Kugiumtzis, Dimitris

    2016-04-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different time series lengths. For nonlinear systems, CGCI from the restricted VAR representations are compared with analogous nonlinear causality indices. Further, CGCI in conjunction with BTS and other restricted VAR representations is applied to multi-channel scalp electroencephalogram (EEG) recordings of epileptic patients containing epileptiform discharges. CGCI on the restricted VAR, and BTS in particular, could track the changes in brain connectivity before, during and after epileptiform discharges, which was not possible using the full VAR representation.

  18. Time Series Forecasting by using Seasonal Autoregressive Integrated Moving Average: Subset, Multiplicative or Additive Model

    Directory of Open Access Journals (Sweden)

    Suhartono

    2011-01-01

    Full Text Available Problem statement: Most of Seasonal Autoregressive Integrated Moving Average (SARIMA models that used for forecasting seasonal time series are multiplicative SARIMA models. These models assume that there is a significant parameter as a result of multiplication between nonseasonal and seasonal parameters without testing by certain statistical test. Moreover, most popular statistical software such as MINITAB and SPSS only has facility to fit a multiplicative model. The aim of this research is to propose a new procedure for indentifying the most appropriate order of SARIMA model whether it involves subset, multiplicative or additive order. In particular, the study examined whether a multiplicative parameter existed in the SARIMA model. Approach: Theoretical derivation about Autocorrelation (ACF and Partial Autocorrelation (PACF functions from subset, multiplicative and additive SARIMA model was firstly discussed and then R program was used to create the graphics of these theoretical ACF and PACF. Then, two monthly datasets were used as case studies, i.e. the international airline passenger data and series about the number of tourist arrivals to Bali, Indonesia. The model identification step to determine the order of ARIMA model was done by using MINITAB program and the model estimation step used SAS program to test whether the model consisted of subset, multiplicative or additive order. Results: The theoretical ACF and PACF showed that subset, multiplicative and additive SARIMA models have different patterns, especially at the lag as a result of multiplication between non-seasonal and seasonal lags. Modeling of the airline data yielded a subset SARIMA model as the best model, whereas an additive SARIMA model is the best model for forecasting the number of tourist arrivals to Bali. Conclusion: Both of case studies showed that a multiplicative SARIMA model was not the best model for forecasting these data. The comparison evaluation showed that subset

  19. Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform

    Directory of Open Access Journals (Sweden)

    Yu Zhao

    2013-01-01

    Full Text Available In the study, we discussed the generalized autoregressive conditional heteroskedasticity model and enhanced it with wavelet transform to evaluate the daily returns for 1/4/2002-30/12/2011 period in Brent oil market. We proposed discrete wavelet transform generalized autoregressive conditional heteroskedasticity model to increase the forecasting performance of the generalized autoregressive conditional heteroskedasticity model. Our new approach can overcome the defect of generalized autoregressive conditional heteroskedasticity family models which can’t describe the detail and partial features of times series and retain the advantages of them at the same time. Comparing with the generalized autoregressive conditional heteroskedasticity model, the new approach significantly improved forecast results and greatly reduces conditional variances.

  20. Bias-corrected estimation in potentially mildly explosive autoregressive models

    DEFF Research Database (Denmark)

    Haufmann, Hendrik; Kruse, Robinson

    that the indirect inference approach oers a valuable alternative to other existing techniques. Its performance (measured by its bias and root mean squared error) is balanced and highly competitive across many different settings. A clear advantage is its applicability for mildly explosive processes. In an empirical...

  1. Autoregressive Models of Background Errors for Chemical Data Assimilation

    OpenAIRE

    Constantinescu, Emil M.; Chai, Tianfeng; Sandu, Adrian; Gregory R. Carmichael

    2006-01-01

    The task of providing an optimal analysis of the state of the atmosphere requires the development of dynamic data-driven systems that efficiently integrate the observational data and the models. Data assimilation (DA) is the process of adjusting the states or parameters of a model in such a way that its outcome (prediction) is close, in some distance metric, to observed (real) states. It is widely accepted that a key ingredient of successful data assimilation is a realistic estimation of th...

  2. Gaussian Processes for Functional Autoregression

    OpenAIRE

    Kowal, Daniel R.; David S. Matteson; Ruppert, David

    2016-01-01

    We develop a hierarchical Gaussian process model for forecasting and inference of functional time series data. Unlike existing methods, our approach is especially suited for sparsely or irregularly sampled curves and for curves sampled with non-negligible measurement error. The latent process is dynamically modeled as a functional autoregression (FAR) with Gaussian process innovations. We propose a fully nonparametric dynamic functional factor model for the dynamic innovation process, with br...

  3. Noncausal Bayesian Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution...

  4. A representation theory for a class of vector autoregressive models for fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2008-01-01

    Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit...... root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0...

  5. Hydrological time series modeling: A comparison between adaptive neuro-fuzzy, neural network and autoregressive techniques

    Science.gov (United States)

    Lohani, A. K.; Kumar, Rakesh; Singh, R. D.

    2012-06-01

    SummaryTime series modeling is necessary for the planning and management of reservoirs. More recently, the soft computing techniques have been used in hydrological modeling and forecasting. In this study, the potential of artificial neural networks and neuro-fuzzy system in monthly reservoir inflow forecasting are examined by developing and comparing monthly reservoir inflow prediction models, based on autoregressive (AR), artificial neural networks (ANNs) and adaptive neural-based fuzzy inference system (ANFIS). To take care the effect of monthly periodicity in the flow data, cyclic terms are also included in the ANN and ANFIS models. Working with time series flow data of the Sutlej River at Bhakra Dam, India, several ANN and adaptive neuro-fuzzy models are trained with different input vectors. To evaluate the performance of the selected ANN and adaptive neural fuzzy inference system (ANFIS) models, comparison is made with the autoregressive (AR) models. The ANFIS model trained with the input data vector including previous inflows and cyclic terms of monthly periodicity has shown a significant improvement in the forecast accuracy in comparison with the ANFIS models trained with the input vectors considering only previous inflows. In all cases ANFIS gives more accurate forecast than the AR and ANN models. The proposed ANFIS model coupled with the cyclic terms is shown to provide better representation of the monthly inflow forecasting for planning and operation of reservoir.

  6. New GPS-aided SINU System Modeling using an Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Chot Hun Lim

    2015-09-01

    Full Text Available Stochastic error in the Micro-Electro-Mechanical-System (MEMS Strapdown Inertial Navigation Unit (SINU is the primary issue causing sensors to be unable to operate as a standalone device. Conventional implementation of MEMS SINU fuses measurement with a global positioning system (GPS through a Kalman filter in order to achieve long-term accuracy. Such integration is known as a GPS-aided SINU system, and its estimation accuracy relies on how precise the stochastic error prediction is in Kalman filtering operation. In this paper, a comprehensive study on stochastic error modeling and analysis through a Gauss- Markov (GM model and autoregressive (AR model are presented. A wavelet denoising technique is introduced prior to error modeling to remove the MEMS SINU's high frequency noise. Without a wavelet denoising technique, neither the GM model nor AR model can be utilized to represent the stochastic error of SINU. Next, details of the Kalman filter implementation to accommodate the AR model are presented. The modeling outcomes are implemented on an unmanned aerial vehicle (UAV for on-board motion sensing. The experimental results show that AR model implementation, compared to a conventional GM model, significantly reduced the estimated errors while preserving the position, velocity and orientation measurements.

  7. A self-organizing power system stabilizer using Fuzzy Auto-Regressive Moving Average (FARMA) model

    Energy Technology Data Exchange (ETDEWEB)

    Park, Y.M.; Moon, U.C. [Seoul National Univ. (Korea, Republic of). Electrical Engineering Dept.; Lee, K.Y. [Pennsylvania State Univ., University Park, PA (United States). Electrical Engineering Dept.

    1996-06-01

    This paper presents a self-organizing power system stabilizer (SOPSS) which use the Fuzzy Auto-Regressive Moving Average (FARMA) model. The control rules and the membership functions of the proposed logic controller are generated automatically without using any plant model. The generated rules are stored in the fuzzy rule space and updated on-line by a self-organizing procedure. To show the effectiveness of the proposed controller, comparison with a conventional controller for one-machine infinite-bus system is presented.

  8. Modal identification based on Gaussian continuous time autoregressive moving average model

    Science.gov (United States)

    Xiuli, Du; Fengquan, Wang

    2010-09-01

    A new time-domain modal identification method of the linear time-invariant system driven by the non-stationary Gaussian random force is presented in this paper. The proposed technique is based on the multivariate continuous time autoregressive moving average (CARMA) model. This method can identify physical parameters of a system from the response-only data. To do this, we first transform the structural dynamic equation into the CARMA model, and subsequently rewrite it in the state-space form. Second, we present the exact maximum likelihood estimators of parameters of the continuous time autoregressive (CAR) model by virtue of the Girsanov theorem, under the assumption that the uniformly modulated function is approximately equal to a constant matrix over a very short period of time. Then, based on the relation between the CAR model and the CARMA model, we present the exact maximum likelihood estimators of parameters of the CARMA model. Finally, the modal parameters are identified by the eigenvalue analysis method. Numerical results show that the method we introduced here not only has high precision and robustness, but also has very high computing efficiency. Therefore, it is suitable for real-time modal identification.

  9. On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations

    Institute of Scientific and Technical Information of China (English)

    PAN; Jiazhu; WU; Guangxu

    2005-01-01

    We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.

  10. Asymmetric impact of rainfall on India's food grain production: evidence from quantile autoregressive distributed lag model

    Science.gov (United States)

    Pal, Debdatta; Mitra, Subrata Kumar

    2016-10-01

    This study used a quantile autoregressive distributed lag (QARDL) model to capture asymmetric impact of rainfall on food production in India. It was found that the coefficient corresponding to the rainfall in the QARDL increased till the 75th quantile and started decreasing thereafter, though it remained in the positive territory. Another interesting finding is that at the 90th quantile and above the coefficients of rainfall though remained positive was not statistically significant and therefore, the benefit of high rainfall on crop production was not conclusive. However, the impact of other determinants, such as fertilizer and pesticide consumption, is quite uniform over the whole range of the distribution of food grain production.

  11. Modeling gene expression regulatory networks with the sparse vector autoregressive model

    Directory of Open Access Journals (Sweden)

    Miyano Satoru

    2007-08-01

    Full Text Available Abstract Background To understand the molecular mechanisms underlying important biological processes, a detailed description of the gene products networks involved is required. In order to define and understand such molecular networks, some statistical methods are proposed in the literature to estimate gene regulatory networks from time-series microarray data. However, several problems still need to be overcome. Firstly, information flow need to be inferred, in addition to the correlation between genes. Secondly, we usually try to identify large networks from a large number of genes (parameters originating from a smaller number of microarray experiments (samples. Due to this situation, which is rather frequent in Bioinformatics, it is difficult to perform statistical tests using methods that model large gene-gene networks. In addition, most of the models are based on dimension reduction using clustering techniques, therefore, the resulting network is not a gene-gene network but a module-module network. Here, we present the Sparse Vector Autoregressive model as a solution to these problems. Results We have applied the Sparse Vector Autoregressive model to estimate gene regulatory networks based on gene expression profiles obtained from time-series microarray experiments. Through extensive simulations, by applying the SVAR method to artificial regulatory networks, we show that SVAR can infer true positive edges even under conditions in which the number of samples is smaller than the number of genes. Moreover, it is possible to control for false positives, a significant advantage when compared to other methods described in the literature, which are based on ranks or score functions. By applying SVAR to actual HeLa cell cycle gene expression data, we were able to identify well known transcription factor targets. Conclusion The proposed SVAR method is able to model gene regulatory networks in frequent situations in which the number of samples is

  12. Forecasting Rice Productivity and Production of Odisha, India, Using Autoregressive Integrated Moving Average Models

    Directory of Open Access Journals (Sweden)

    Rahul Tripathi

    2014-01-01

    Full Text Available Forecasting of rice area, production, and productivity of Odisha was made from the historical data of 1950-51 to 2008-09 by using univariate autoregressive integrated moving average (ARIMA models and was compared with the forecasted all Indian data. The autoregressive (p and moving average (q parameters were identified based on the significant spikes in the plots of partial autocorrelation function (PACF and autocorrelation function (ACF of the different time series. ARIMA (2, 1, 0 model was found suitable for all Indian rice productivity and production, whereas ARIMA (1, 1, 1 was best fitted for forecasting of rice productivity and production in Odisha. Prediction was made for the immediate next three years, that is, 2007-08, 2008-09, and 2009-10, using the best fitted ARIMA models based on minimum value of the selection criterion, that is, Akaike information criteria (AIC and Schwarz-Bayesian information criteria (SBC. The performances of models were validated by comparing with percentage deviation from the actual values and mean absolute percent error (MAPE, which was found to be 0.61 and 2.99% for the area under rice in Odisha and India, respectively. Similarly for prediction of rice production and productivity in Odisha and India, the MAPE was found to be less than 6%.

  13. Optimal selection of autoregressive model coefficients for early damage detectability with an application to wind turbine blades

    Science.gov (United States)

    Hoell, Simon; Omenzetter, Piotr

    2016-03-01

    Data-driven vibration-based damage detection techniques can be competitive because of their lower instrumentation and data analysis costs. The use of autoregressive model coefficients (ARMCs) as damage sensitive features (DSFs) is one such technique. So far, like with other DSFs, either full sets of coefficients or subsets selected by trial-and-error have been used, but this can lead to suboptimal composition of multivariate DSFs and decreased damage detection performance. This study enhances the selection of ARMCs for statistical hypothesis testing for damage presence. Two approaches for systematic ARMC selection, based on either adding or eliminating the coefficients one by one or using a genetic algorithm (GA) are proposed. The methods are applied to a numerical model of an aerodynamically excited large composite wind turbine blade with disbonding damage. The GA out performs the other selection methods and enables building multivariate DSFs that markedly enhance early damage detectability and are insensitive to measurement noise.

  14. Auto-Regressive Models of Non-Stationary Time Series with Finite Length

    Institute of Scientific and Technical Information of China (English)

    FEI Wanchun; BAI Lun

    2005-01-01

    To analyze and simulate non-stationary time series with finite length, the statistical characteristics and auto-regressive (AR) models of non-stationary time series with finite length are discussed and studied. A new AR model called the time varying parameter AR model is proposed for solution of non-stationary time series with finite length. The auto-covariances of time series simulated by means of several AR models are analyzed. The result shows that the new AR model can be used to simulate and generate a new time series with the auto-covariance same as the original time series. The size curves of cocoon filaments regarded as non-stationary time series with finite length are experimentally simulated. The simulation results are significantly better than those obtained so far, and illustrate the availability of the time varying parameter AR model. The results are useful for analyzing and simulating non-stationary time series with finite length.

  15. Identifying damage locations under ambient vibrations utilizing vector autoregressive models and Mahalanobis distances

    Science.gov (United States)

    Mosavi, A. A.; Dickey, D.; Seracino, R.; Rizkalla, S.

    2012-01-01

    This paper presents a study for identifying damage locations in an idealized steel bridge girder using the ambient vibration measurements. A sensitive damage feature is proposed in the context of statistical pattern recognition to address the damage detection problem. The study utilizes an experimental program that consists of a two-span continuous steel beam subjected to ambient vibrations. The vibration responses of the beam are measured along its length under simulated ambient vibrations and different healthy/damage conditions of the beam. The ambient vibration is simulated using a hydraulic actuator, and damages are induced by cutting portions of the flange at two locations. Multivariate vector autoregressive models were fitted to the vibration response time histories measured at the multiple sensor locations. A sensitive damage feature is proposed for identifying the damage location by applying Mahalanobis distances to the coefficients of the vector autoregressive models. A linear discriminant criterion was used to evaluate the amount of variations in the damage features obtained for different sensor locations with respect to the healthy condition of the beam. The analyses indicate that the highest variations in the damage features were coincident with the sensors closely located to the damages. The presented method showed a promising sensitivity to identify the damage location even when the induced damage was very small.

  16. Autoregressive spatially varying coefficients model for predicting daily PM2.5 using VIIRS satellite AOT

    Science.gov (United States)

    Schliep, E. M.; Gelfand, A. E.; Holland, D. M.

    2015-12-01

    There is considerable demand for accurate air quality information in human health analyses. The sparsity of ground monitoring stations across the United States motivates the need for advanced statistical models to predict air quality metrics, such as PM2.5, at unobserved sites. Remote sensing technologies have the potential to expand our knowledge of PM2.5 spatial patterns beyond what we can predict from current PM2.5 monitoring networks. Data from satellites have an additional advantage in not requiring extensive emission inventories necessary for most atmospheric models that have been used in earlier data fusion models for air pollution. Statistical models combining monitoring station data with satellite-obtained aerosol optical thickness (AOT), also referred to as aerosol optical depth (AOD), have been proposed in the literature with varying levels of success in predicting PM2.5. The benefit of using AOT is that satellites provide complete gridded spatial coverage. However, the challenges involved with using it in fusion models are (1) the correlation between the two data sources varies both in time and in space, (2) the data sources are temporally and spatially misaligned, and (3) there is extensive missingness in the monitoring data and also in the satellite data due to cloud cover. We propose a hierarchical autoregressive spatially varying coefficients model to jointly model the two data sources, which addresses the foregoing challenges. Additionally, we offer formal model comparison for competing models in terms of model fit and out of sample prediction of PM2.5. The models are applied to daily observations of PM2.5 and AOT in the summer months of 2013 across the conterminous United States. Most notably, during this time period, we find small in-sample improvement incorporating AOT into our autoregressive model but little out-of-sample predictive improvement.

  17. Dual-component model of respiratory motion based on the periodic autoregressive moving average (periodic ARMA) method

    International Nuclear Information System (INIS)

    A new approach to the problem of modelling and predicting respiration motion has been implemented. This is a dual-component model, which describes the respiration motion as a non-periodic time series superimposed onto a periodic waveform. A periodic autoregressive moving average algorithm has been used to define a mathematical model of the periodic and non-periodic components of the respiration motion. The periodic components of the motion were found by projecting multiple inhale-exhale cycles onto a common subspace. The component of the respiration signal that is left after removing this periodicity is a partially autocorrelated time series and was modelled as an autoregressive moving average (ARMA) process. The accuracy of the periodic ARMA model with respect to fluctuation in amplitude and variation in length of cycles has been assessed. A respiration phantom was developed to simulate the inter-cycle variations seen in free-breathing and coached respiration patterns. At ±14% variability in cycle length and maximum amplitude of motion, the prediction errors were 4.8% of the total motion extent for a 0.5 s ahead prediction, and 9.4% at 1.0 s lag. The prediction errors increased to 11.6% at 0.5 s and 21.6% at 1.0 s when the respiration pattern had ±34% variations in both these parameters. Our results have shown that the accuracy of the periodic ARMA model is more strongly dependent on the variations in cycle length than the amplitude of the respiration cycles

  18. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbæk, Anders; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...

  19. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    2009-01-01

    In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies...

  20. Multivariate Autoregressive Modeling and Granger Causality Analysis of Multiple Spike Trains

    Directory of Open Access Journals (Sweden)

    Michael Krumin

    2010-01-01

    Full Text Available Recent years have seen the emergence of microelectrode arrays and optical methods allowing simultaneous recording of spiking activity from populations of neurons in various parts of the nervous system. The analysis of multiple neural spike train data could benefit significantly from existing methods for multivariate time-series analysis which have proven to be very powerful in the modeling and analysis of continuous neural signals like EEG signals. However, those methods have not generally been well adapted to point processes. Here, we use our recent results on correlation distortions in multivariate Linear-Nonlinear-Poisson spiking neuron models to derive generalized Yule-Walker-type equations for fitting ‘‘hidden’’ Multivariate Autoregressive models. We use this new framework to perform Granger causality analysis in order to extract the directed information flow pattern in networks of simulated spiking neurons. We discuss the relative merits and limitations of the new method.

  1. Microenvironment temperature prediction between body and seat interface using autoregressive data-driven model.

    Science.gov (United States)

    Liu, Zhuofu; Wang, Lin; Luo, Zhongming; Heusch, Andrew I; Cascioli, Vincenzo; McCarthy, Peter W

    2015-11-01

    There is a need to develop a greater understanding of temperature at the skin-seat interface during prolonged seating from the perspectives of both industrial design (comfort/discomfort) and medical care (skin ulcer formation). Here we test the concept of predicting temperature at the seat surface and skin interface during prolonged sitting (such as required from wheelchair users). As caregivers are usually busy, such a method would give them warning ahead of a problem. This paper describes a data-driven model capable of predicting thermal changes and thus having the potential to provide an early warning (15- to 25-min ahead prediction) of an impending temperature that may increase the risk for potential skin damages for those subject to enforced sitting and who have little or no sensory feedback from this area. Initially, the oscillations of the original signal are suppressed using the reconstruction strategy of empirical mode decomposition (EMD). Consequentially, the autoregressive data-driven model can be used to predict future thermal trends based on a shorter period of acquisition, which reduces the possibility of introducing human errors and artefacts associated with longer duration "enforced" sitting by volunteers. In this study, the method had a maximum predictive error of <0.4 °C when used to predict the temperature at the seat and skin interface 15 min ahead, but required 45 min data prior to give this accuracy. Although the 45 min front loading of data appears large (in proportion to the 15 min prediction), a relative strength derives from the fact that the same algorithm could be used on the other 4 sitting datasets created by the same individual, suggesting that the period of 45 min required to train the algorithm is transferable to other data from the same individual. This approach might be developed (along with incorporation of other measures such as movement and humidity) into a system that can give caregivers prior warning to help avoid

  2. Microenvironment temperature prediction between body and seat interface using autoregressive data-driven model.

    Science.gov (United States)

    Liu, Zhuofu; Wang, Lin; Luo, Zhongming; Heusch, Andrew I; Cascioli, Vincenzo; McCarthy, Peter W

    2015-11-01

    There is a need to develop a greater understanding of temperature at the skin-seat interface during prolonged seating from the perspectives of both industrial design (comfort/discomfort) and medical care (skin ulcer formation). Here we test the concept of predicting temperature at the seat surface and skin interface during prolonged sitting (such as required from wheelchair users). As caregivers are usually busy, such a method would give them warning ahead of a problem. This paper describes a data-driven model capable of predicting thermal changes and thus having the potential to provide an early warning (15- to 25-min ahead prediction) of an impending temperature that may increase the risk for potential skin damages for those subject to enforced sitting and who have little or no sensory feedback from this area. Initially, the oscillations of the original signal are suppressed using the reconstruction strategy of empirical mode decomposition (EMD). Consequentially, the autoregressive data-driven model can be used to predict future thermal trends based on a shorter period of acquisition, which reduces the possibility of introducing human errors and artefacts associated with longer duration "enforced" sitting by volunteers. In this study, the method had a maximum predictive error of seat and skin interface 15 min ahead, but required 45 min data prior to give this accuracy. Although the 45 min front loading of data appears large (in proportion to the 15 min prediction), a relative strength derives from the fact that the same algorithm could be used on the other 4 sitting datasets created by the same individual, suggesting that the period of 45 min required to train the algorithm is transferable to other data from the same individual. This approach might be developed (along with incorporation of other measures such as movement and humidity) into a system that can give caregivers prior warning to help avoid exacerbating the skin disorders of patients who suffer

  3. Autoregressive higher-order hidden Markov models: exploiting local chromosomal dependencies in the analysis of tumor expression profiles.

    Directory of Open Access Journals (Sweden)

    Michael Seifert

    Full Text Available Changes in gene expression programs play a central role in cancer. Chromosomal aberrations such as deletions, duplications and translocations of DNA segments can lead to highly significant positive correlations of gene expression levels of neighboring genes. This should be utilized to improve the analysis of tumor expression profiles. Here, we develop a novel model class of autoregressive higher-order Hidden Markov Models (HMMs that carefully exploit local data-dependent chromosomal dependencies to improve the identification of differentially expressed genes in tumor. Autoregressive higher-order HMMs overcome generally existing limitations of standard first-order HMMs in the modeling of dependencies between genes in close chromosomal proximity by the simultaneous usage of higher-order state-transitions and autoregressive emissions as novel model features. We apply autoregressive higher-order HMMs to the analysis of breast cancer and glioma gene expression data and perform in-depth model evaluation studies. We find that autoregressive higher-order HMMs clearly improve the identification of overexpressed genes with underlying gene copy number duplications in breast cancer in comparison to mixture models, standard first- and higher-order HMMs, and other related methods. The performance benefit is attributed to the simultaneous usage of higher-order state-transitions in combination with autoregressive emissions. This benefit could not be reached by using each of these two features independently. We also find that autoregressive higher-order HMMs are better able to identify differentially expressed genes in tumors independent of the underlying gene copy number status in comparison to the majority of related methods. This is further supported by the identification of well-known and of previously unreported hotspots of differential expression in glioblastomas demonstrating the efficacy of autoregressive higher-order HMMs for the analysis of individual

  4. Short-term electricity prices forecasting based on support vector regression and Auto-regressive integrated moving average modeling

    International Nuclear Information System (INIS)

    In this paper, we present the use of different mathematical models to forecast electricity price under deregulated power. A successful prediction tool of electricity price can help both power producers and consumers plan their bidding strategies. Inspired by that the support vector regression (SVR) model, with the ε-insensitive loss function, admits of the residual within the boundary values of ε-tube, we propose a hybrid model that combines both SVR and Auto-regressive integrated moving average (ARIMA) models to take advantage of the unique strength of SVR and ARIMA models in nonlinear and linear modeling, which is called SVRARIMA. A nonlinear analysis of the time-series indicates the convenience of nonlinear modeling, the SVR is applied to capture the nonlinear patterns. ARIMA models have been successfully applied in solving the residuals regression estimation problems. The experimental results demonstrate that the model proposed outperforms the existing neural-network approaches, the traditional ARIMA models and other hybrid models based on the root mean square error and mean absolute percentage error.

  5. A fault diagnosis methodology for rolling element bearings based on advanced signal pretreatment and autoregressive modelling

    Science.gov (United States)

    Al-Bugharbee, Hussein; Trendafilova, Irina

    2016-05-01

    This study proposes a methodology for rolling element bearings fault diagnosis which gives a complete and highly accurate identification of the faults present. It has two main stages: signals pretreatment, which is based on several signal analysis procedures, and diagnosis, which uses a pattern-recognition process. The first stage is principally based on linear time invariant autoregressive modelling. One of the main contributions of this investigation is the development of a pretreatment signal analysis procedure which subjects the signal to noise cleaning by singular spectrum analysis and then stationarisation by differencing. So the signal is transformed to bring it close to a stationary one, rather than complicating the model to bring it closer to the signal. This type of pretreatment allows the use of a linear time invariant autoregressive model and improves its performance when the original signals are non-stationary. This contribution is at the heart of the proposed method, and the high accuracy of the diagnosis is a result of this procedure. The methodology emphasises the importance of preliminary noise cleaning and stationarisation. And it demonstrates that the information needed for fault identification is contained in the stationary part of the measured signal. The methodology is further validated using three different experimental setups, demonstrating very high accuracy for all of the applications. It is able to correctly classify nearly 100 percent of the faults with regard to their type and size. This high accuracy is the other important contribution of this methodology. Thus, this research suggests a highly accurate methodology for rolling element bearing fault diagnosis which is based on relatively simple procedures. This is also an advantage, as the simplicity of the individual processes ensures easy application and the possibility for automation of the entire process.

  6. Spatial pattern of diarrhea based on regional economic and environment by spatial autoregressive model

    Science.gov (United States)

    Bekti, Rokhana Dwi; Nurhadiyanti, Gita; Irwansyah, Edy

    2014-10-01

    The diarrhea case pattern information, especially for toddler, is very important. It is used to show the distribution of diarrhea in every region, relationship among that locations, and regional economic characteristic or environmental behavior. So, this research uses spatial pattern to perform them. This method includes: Moran's I, Spatial Autoregressive Models (SAR), and Local Indicator of Spatial Autocorrelation (LISA). It uses sample from 23 sub districts of Bekasi Regency, West Java, Indonesia. Diarrhea case, regional economic, and environmental behavior of households have a spatial relationship among sub district. SAR shows that the percentage of Regional Gross Domestic Product is significantly effect on diarrhea at α = 10%. Therefore illiteracy and health center facilities are significant at α = 5%. With LISA test, sub districts in southern Bekasi have high dependencies with Cikarang Selatan, Serang Baru, and Setu. This research also builds development application that is based on java and R to support data analysis.

  7. Classification of event-related potentials using multivariate autoregressive modeling combined with simulated annealing

    Directory of Open Access Journals (Sweden)

    Vasios C.E.

    2003-01-01

    Full Text Available In the present work, a new method for the classification of Event Related Potentials (ERPs is proposed. The proposed method consists of two modules: the feature extraction module and the classification module. The feature extraction module comprises the implementation of the Multivariate Autoregressive model in conjunction with the Simulated Annealing technique, for the selection of optimum features from ERPs. The classification module is implemented with a single three-layer neural network, trained with the back-propagation algorithm and classifies the data into two classes: patients and control subjects. The method, in the form of a Decision Support System (DSS, has been thoroughly tested to a number of patient data (OCD, FES, depressives and drug users, resulting successful classification up to 100%.

  8. Testing the Causal Links between School Climate, School Violence, and School Academic Performance: A Cross-Lagged Panel Autoregressive Model

    Science.gov (United States)

    Benbenishty, Rami; Astor, Ron Avi; Roziner, Ilan; Wrabel, Stephani L.

    2016-01-01

    The present study explores the causal link between school climate, school violence, and a school's general academic performance over time using a school-level, cross-lagged panel autoregressive modeling design. We hypothesized that reductions in school violence and climate improvement would lead to schools' overall improved academic performance.…

  9. Forecasting Nord Pool day-ahead prices with an autoregressive model

    International Nuclear Information System (INIS)

    This paper presents a model to forecast Nord Pool hourly day-ahead prices. The model is based on but reduced in terms of estimation parameters (from 24 sets to 1) and modified to include Nordic demand and Danish wind power as exogenous variables. We model prices across all hours in the analysis period rather than across each single hour of 24 hours. By applying three model variants on Nord Pool data, we achieve a weekly mean absolute percentage error (WMAE) of around 6–7% and an hourly mean absolute percentage error (MAPE) ranging from 8% to 11%. Out of sample results yields a WMAE and an hourly MAPE of around 5%. The models enable analysts and traders to forecast hourly day-ahead prices accurately. Moreover, the models are relatively straightforward and user-friendly to implement. They can be set up in any trading organization. - Highlights: ► Forecasting Nord Pool day-ahead prices with an autoregressive model. ► The model is based on but with the set of parameters reduced from 24 to 1. ► The model includes Nordic demand and Danish wind power as exogenous variables. ► Hourly mean absolute percentage error ranges from 8% to 11%. ► Out of sample results yields a WMAE and an hourly MAPE of around 5%.

  10. Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)

    NARCIS (Netherlands)

    Drost, F.C.; van den Akker, R.; Werker, B.J.M.

    2007-01-01

    Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on the no

  11. Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)

    NARCIS (Netherlands)

    Drost, F.C.; van den Akker, R.; Werker, B.J.M.

    2008-01-01

    Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on the no

  12. Assessment and prediction of air quality using fuzzy logic and autoregressive models

    Science.gov (United States)

    Carbajal-Hernández, José Juan; Sánchez-Fernández, Luis P.; Carrasco-Ochoa, Jesús A.; Martínez-Trinidad, José Fco.

    2012-12-01

    In recent years, artificial intelligence methods have been used for the treatment of environmental problems. This work, presents two models for assessment and prediction of air quality. First, we develop a new computational model for air quality assessment in order to evaluate toxic compounds that can harm sensitive people in urban areas, affecting their normal activities. In this model we propose to use a Sigma operator to statistically asses air quality parameters using their historical data information and determining their negative impact in air quality based on toxicity limits, frequency average and deviations of toxicological tests. We also introduce a fuzzy inference system to perform parameter classification using a reasoning process and integrating them in an air quality index describing the pollution levels in five stages: excellent, good, regular, bad and danger, respectively. The second model proposed in this work predicts air quality concentrations using an autoregressive model, providing a predicted air quality index based on the fuzzy inference system previously developed. Using data from Mexico City Atmospheric Monitoring System, we perform a comparison among air quality indices developed for environmental agencies and similar models. Our results show that our models are an appropriate tool for assessing site pollution and for providing guidance to improve contingency actions in urban areas.

  13. Efficient Blind System Identification of Non-Gaussian Auto-Regressive Models with HMM Modeling of the Excitation

    DEFF Research Database (Denmark)

    Li, Chunjian; Andersen, Søren Vang

    2007-01-01

    We propose two blind system identification methods that exploit the underlying dynamics of non-Gaussian signals. The two signal models to be identified are: an Auto-Regressive (AR) model driven by a discrete-state Hidden Markov process, and the same model whose output is perturbed by white Gaussian...... iterative schemes. The proposed methods also enjoy good data efficiency since only second order statistics is involved in the computation. When measurement noise is present, a novel Switching Kalman Smoother is incorporated into the EM algorithm, obtaining optimum nonlinear MMSE estimates of the system...

  14. Autoregressive modelling of measured sea waves off west coast of India

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; SanilKumar, V.; Nayak, B.U.

    relationships with minimum loss of information. The random process is expressed by the autoregressive (AR) algorithm which is a polynomial function. The optimal AR polynomial is obtained by using the Akaike information criterion method. The AR parameters...

  15. Detection of shallow buried objects using an autoregressive model on the ground penetrating radar signal

    Science.gov (United States)

    Nabelek, Daniel P.; Ho, K. C.

    2013-06-01

    The detection of shallow buried low-metal content objects using ground penetrating radar (GPR) is a challenging task. This is because these targets are right underneath the ground and the ground bounce reflection interferes with their detections. They do not create distinctive hyperbolic signatures as required by most existing GPR detection algorithms due to their special geometric shapes and low metal content. This paper proposes the use of the Autoregressive (AR) modeling method for the detection of these targets. We fit an A-scan of the GPR data to an AR model. It is found that the fitting error will be small when such a target is present and large when it is absent. The ratio of the energy in an Ascan before and after AR model fitting is used as the confidence value for detection. We also apply AR model fitting over scans and utilize the fitting residual energies over several scans to form a feature vector for improving the detections. Using the data collected from a government test site, the proposed method can improve the detection of this kind of targets by 30% compared to the pre-screener, at a false alarm rate of 0.002/m2.

  16. Linking Simple Economic Theory Models and the Cointegrated Vector AutoRegressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its...

  17. Towards damage detection using blind source separation integrated with time-varying auto-regressive modeling

    Science.gov (United States)

    Musafere, F.; Sadhu, A.; Liu, K.

    2016-01-01

    In the last few decades, structural health monitoring (SHM) has been an indispensable subject in the field of vibration engineering. With the aid of modern sensing technology, SHM has garnered significant attention towards diagnosis and risk management of large-scale civil structures and mechanical systems. In SHM, system identification is one of major building blocks through which unknown system parameters are extracted from vibration data of the structures. Such system information is then utilized to detect the damage instant, and its severity to rehabilitate and prolong the existing health of the structures. In recent years, blind source separation (BSS) algorithm has become one of the newly emerging advanced signal processing techniques for output-only system identification of civil structures. In this paper, a novel damage detection technique is proposed by integrating BSS with the time-varying auto-regressive modeling to identify the instant and severity of damage. The proposed method is validated using a suite of numerical studies and experimental models followed by a full-scale structure.

  18. CONSTRUCTION OF POLYNOMIAL MATRIX USING BLOCK COEFFICIENT MATRIX REPRESENTATION AUTO-REGRESSIVE MOVING AVERAGE MODEL FOR ACTIVELY CONTROLLED STRUCTURES

    Institute of Scientific and Technical Information of China (English)

    LI Chunxiang; ZHOU Dai

    2004-01-01

    The polynomial matrix using the block coefficient matrix representation auto-regressive moving average (referred to as the PM-ARMA) model is constructed in this paper for actively controlled multi-degree-of-freedom (MDOF) structures with time-delay through equivalently transforming the preliminary state space realization into the new state space realization. The PM-ARMA model is a more general formulation with respect to the polynomial using the coefficient representation auto-regressive moving average (ARMA) model due to its capability to cope with actively controlled structures with any given structural degrees of freedom and any chosen number of sensors and actuators. (The sensors and actuators are required to maintain the identical number.) under any dimensional stationary stochastic excitation.

  19. Generalizing smooth transition autoregressions

    DEFF Research Database (Denmark)

    Chini, Emilio Zanetti

    We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail, with part......We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail...... forecasting experiment to evaluate its point and density forecasting performances. In all the cases, the dynamic asymmetry in the cycle is efficiently captured by the new model. The GSTAR beats AR and STAR competitors in point forecasting, while this superiority becomes less evident in density forecasting...

  20. Dynamic RSA: Examining parasympathetic regulatory dynamics via vector-autoregressive modeling of time-varying RSA and heart period.

    Science.gov (United States)

    Fisher, Aaron J; Reeves, Jonathan W; Chi, Cyrus

    2016-07-01

    Expanding on recently published methods, the current study presents an approach to estimating the dynamic, regulatory effect of the parasympathetic nervous system on heart period on a moment-to-moment basis. We estimated second-to-second variation in respiratory sinus arrhythmia (RSA) in order to estimate the contemporaneous and time-lagged relationships among RSA, interbeat interval (IBI), and respiration rate via vector autoregression. Moreover, we modeled these relationships at lags of 1 s to 10 s, in order to evaluate the optimal latency for estimating dynamic RSA effects. The IBI (t) on RSA (t-n) regression parameter was extracted from individual models as an operationalization of the regulatory effect of RSA on IBI-referred to as dynamic RSA (dRSA). Dynamic RSA positively correlated with standard averages of heart rate and negatively correlated with standard averages of RSA. We propose that dRSA reflects the active downregulation of heart period by the parasympathetic nervous system and thus represents a novel metric that provides incremental validity in the measurement of autonomic cardiac control-specifically, a method by which parasympathetic regulatory effects can be measured in process.

  1. Dynamic RSA: Examining parasympathetic regulatory dynamics via vector-autoregressive modeling of time-varying RSA and heart period.

    Science.gov (United States)

    Fisher, Aaron J; Reeves, Jonathan W; Chi, Cyrus

    2016-07-01

    Expanding on recently published methods, the current study presents an approach to estimating the dynamic, regulatory effect of the parasympathetic nervous system on heart period on a moment-to-moment basis. We estimated second-to-second variation in respiratory sinus arrhythmia (RSA) in order to estimate the contemporaneous and time-lagged relationships among RSA, interbeat interval (IBI), and respiration rate via vector autoregression. Moreover, we modeled these relationships at lags of 1 s to 10 s, in order to evaluate the optimal latency for estimating dynamic RSA effects. The IBI (t) on RSA (t-n) regression parameter was extracted from individual models as an operationalization of the regulatory effect of RSA on IBI-referred to as dynamic RSA (dRSA). Dynamic RSA positively correlated with standard averages of heart rate and negatively correlated with standard averages of RSA. We propose that dRSA reflects the active downregulation of heart period by the parasympathetic nervous system and thus represents a novel metric that provides incremental validity in the measurement of autonomic cardiac control-specifically, a method by which parasympathetic regulatory effects can be measured in process. PMID:27045609

  2. Day-ahead prediction using time series partitioning with Auto-Regressive model

    Directory of Open Access Journals (Sweden)

    Dennis Cheruiyot Kiplangat

    2016-08-01

    Full Text Available Wind speed forecasting has received a lot of attention in the recent past from researchers due to its enormous benefits in the generation of wind power and distribution. The biggest challenge still remains to be accurate prediction of wind speeds for efficient operation of a wind farm. Wind speed forecasts can be greatly improved by understanding its underlying dynamics. In this paper, we propose a method of time series partitioning where the original 10 minutes wind speed data is converted into a twodimensional array of order (N x 144 where N denotes the number of days with 144 the daily 10-min observations. Upon successful time series partitioning, a point forecast is computed for each of the 144 datasets extracted from the 10 minutes wind speed observations using an Auto-Regressive (AR process which is then combined together to give the (N+1st day forecast. The results of the computations show significant improvement in the prediction accuracy when AR model is coupled with time series partitioning.

  3. Coal Consumption Reduction in Shandong Province: A Dynamic Vector Autoregression Model

    Directory of Open Access Journals (Sweden)

    Chun Deng

    2016-08-01

    Full Text Available Coal consumption and carbon dioxide emissions from coal combustion in China are attracting increasing attention worldwide. Between 1990 and 2013, the coal consumption in Shandong Province increased by approximately 5.29 times. Meanwhile, the proportion of coal consumption of Shandong Province to China rose from 7.6% to 10.8%, and to the world, it rose from 1.8% to 5.5%. Identifying the drivers of coal consumption in Shandong Province is vital for developing effective environmental policies. This paper uses the Vector Autoregression model to analyze the influencing factors of coal consumption in Shandong Province. The results show that industrialization plays a dominant role in increasing coal consumption. Conversely, coal efficiency is the key factor to curtailing coal consumption. Although there is a rebound effect of coal efficiency in the short term, from a long-term perspective, coal efficiency will reduce coal consumption gradually. Both economic growth and urbanization have a significant effect on coal consumption in Shandong Province. In addition, the substitution effect of oil to coal has not yet met expectations. These findings are important for relevant authorities in Shandong in developing appropriate policies to halt the growth of coal consumption.

  4. THE CAUSALITY BETWEEN INCOME AND ENERGY CONSUMPTION: A PANEL VECTOR AUTOREGRESSIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Tony Irawan

    2011-08-01

    Full Text Available Normal 0 false false false MicrosoftInternetExplorer4 /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Times New Roman"; mso-ansi-language:#0400; mso-fareast-language:#0400; mso-bidi-language:#0400;} Hubungan sebab-akibat antara pemakaian energi dan pemasukan (produk domestik kotor telah menjadi isu yang sangat penting di bidang ekonomi. Banyak penelitian yang telah dilakukan dan hasilnya beragam dan berlawanan. Dari hasil penelitian menunjukkan bahwa tidak ada hubungan sebab-akibat yang jelas antara kedua variabel tersebut. Penelitian ini bertujuan untuk melakukan investigasi ulang hubungan sebab-akibat tersebut dengan mengaplikasikan metode panel vector autoregressive kepada data dari enam negara terpadat populasinya di dunia. Selain itu, penelitian ini juga menggunakan impulse response function dan variance decomposition. Hasilnya menunjukkan bahwa adanya hubungan sebab-akibat tidak langsung dari pemakaian energi ke pemasukan. Goncangan pemakaian energi mempunyai efek yang positif dan dapat menjelaskan kira-kira 18,7 persen varian pemasukan.

  5. The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models

    Directory of Open Access Journals (Sweden)

    Mei-Yu LEE

    2014-11-01

    Full Text Available This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the Durbin-Watson test estimator in three time-series models that have different variance-covariance matrix assumption, separately. We show that the expected values and variances of the Durbin-Watson test estimator are slightly different, but the skewed and kurtosis coefficients are considerably different among three models. The shapes of four coefficients are similar between the Durbin-Watson model and our benchmark model, but are not the same with the autoregressive model cut by one-lagged period. Second, the large sample case shows that the three models have the same expected values, however, the autoregressive model cut by one-lagged period explores different shapes of variance, skewed and kurtosis coefficients from the other two models. This implies that the large samples lead to the same expected values, 2(1 – ρ0, whatever the variance-covariance matrix of the errors is assumed. Finally, comparing with the two sample cases, the shape of each coefficient is almost the same, moreover, the autocorrelation coefficients are negatively related with expected values, are inverted-U related with variances, are cubic related with skewed coefficients, and are U related with kurtosis coefficients.

  6. Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    Sign-identified structural vector autoregressive (SVAR) models have recently become popular. However, the conventional approach to sign restrictions only yields set identification, and implicitly assumes an informative prior distribution of the impulse responses whose influence does not vanish...

  7. Comparison of two non-convex mixed-integer nonlinear programming algorithms applied to autoregressive moving average model structure and parameter estimation

    Science.gov (United States)

    Uilhoorn, F. E.

    2016-10-01

    In this article, the stochastic modelling approach proposed by Box and Jenkins is treated as a mixed-integer nonlinear programming (MINLP) problem solved with a mesh adaptive direct search and a real-coded genetic class of algorithms. The aim is to estimate the real-valued parameters and non-negative integer, correlated structure of stationary autoregressive moving average (ARMA) processes. The maximum likelihood function of the stationary ARMA process is embedded in Akaike's information criterion and the Bayesian information criterion, whereas the estimation procedure is based on Kalman filter recursions. The constraints imposed on the objective function enforce stability and invertibility. The best ARMA model is regarded as the global minimum of the non-convex MINLP problem. The robustness and computational performance of the MINLP solvers are compared with brute-force enumeration. Numerical experiments are done for existing time series and one new data set.

  8. Property and Application of the Causal Graphs of Structure Vector Autoregressive Model%结构向量自回归因果图的性质及应用

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩

    2015-01-01

    文章利用图模型方法分析结构向量自回归模型变量间的因果性问题,构建结构向量自回归因果图,研究该因果图的性质,基于信息论方法建立了因果图结构辨识的三步准则,并用所给方法做了实例分析。%This paper explores how to use graphical modelling approach to analyze the causal relations among variables of structure vector autoregressive model. The causal graphs of structure vector autoregressive model is established and its properties are investigated. A three-step procedure based on information theory criteria is developed to identify the causal structure of the causal graphs.Finally,a case analysis is presented using the propose method.

  9. Vector Autoregression (Var Model for Rainfall Forecast and Isohyet Mapping in Semarang – Central Java – Indonesia

    Directory of Open Access Journals (Sweden)

    Adi Nugroho

    2014-11-01

    Full Text Available Agricultural and plantation activities in Indonesia, especially in Semarang, Central Java, Indonesia rely on water supply from the rainfall. The rainfall in the future is basically influenced by rainfall patterns, humidity and temperature in the past. In this case, Vector Autoregression (VAR multivariate model is applied to forecast the rainfall in the future, in which all along Indonesian Agency for Meteorology, Climatology and Geophysics (BMKG generally uses ARIMA model (Autoregressive Integrated Moving Average to carry out the same thing. The study applied the data, comprising the data of rainfall, humidity and temperature taken on a monthly basis during 2001-2013 periods from 5 measurement stations. Plotting of rainfall forecast result with VAR method is portrayed in the form of isohyet contour map to see the correlation between rainfall and coordinates of the area of the rainfall. The forecast result shows that VAR method is quite accurate to use for rainfall forecast in the study area as well as better than ARIMA method to forecast the same thing as having smaller Mean Absolute Error (MAE and Mean Absolute Percentage Error(MAPE.

  10. Mindfulness Training Promotes Upward Spirals of Positive Affect and Cognition: Multilevel and Autoregressive Latent Trajectory Modeling Analysis

    Directory of Open Access Journals (Sweden)

    Eric L Garland

    2015-02-01

    Full Text Available Recent theory suggests that positive psychological processes integral to health may be energized through the self-reinforcing dynamics of an upward spiral to counter emotion dysregulation. The present study examined positive emotion-cognition interactions among individuals in partial remission from depression who had been randomly assigned to treatment with mindfulness-based cognitive therapy (MBCT; n = 64 or a wait-list control condition (n = 66. We hypothesized that MBCT stimulates upward spirals by increasing positive affect and positive cognition. Experience sampling assessed changes in affect and cognition during 6 days before and after treatment, which were analyzed with a series of multilevel and autoregressive latent trajectory models. Findings suggest that MBCT was associated with significant increases in trait positive affect and momentary positive cognition, which were preserved through autoregressive and cross-lagged effects driven by global emotional tone. Findings suggest that daily positive affect and cognition are maintained by an upward spiral that might be promoted by mindfulness training.

  11. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  12. Probabilistic forecasting of wind power at the minute time-scale with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2008-01-01

    Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed...... methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise...... consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed....

  13. Carbon dioxide emissions reduction in China's transport sector: A dynamic VAR (vector autoregression) approach

    International Nuclear Information System (INIS)

    Energy saving and carbon dioxide emission reduction in China is attracting increasing attention worldwide. At present, China is in the phase of rapid urbanization and industrialization, which is characterized by rapid growth of energy consumption. China's transport sector is highly energy-consuming and pollution-intensive. Between 1980 and 2012, the carbon dioxide emissions in China's transport sector increased approximately 9.7 times, with an average annual growth rate of 7.4%. Identifying the driving forces of the increase in carbon dioxide emissions in the transport sector is vital to developing effective environmental policies. This study uses Vector Autoregressive model to analyze the influencing factors of the changes in carbon dioxide emissions in the sector. The results show that energy efficiency plays a dominant role in reducing carbon dioxide emissions. Private vehicles have more impact on emission reduction than cargo turnover due to the surge in private car population and its low energy efficiency. Urbanization also has significant effect on carbon dioxide emissions because of large-scale population movements and the transformation of the industrial structure. These findings are important for the relevant authorities in China in developing appropriate energy policy and planning for the transport sector. - Highlights: • The driving forces of CO2 emissions in China's transport sector were investigated. • Energy efficiency plays a dominant role in reducing carbon dioxide emissions. • Urbanization has significant effect on CO2 emissions due to large-scale migration. • The role of private cars in reducing emissions is more important than cargo turnover

  14. Modeling the Variance of Variance Through a Constant Elasticity of Variance Generalized Autoregressive Conditional Heteroskedasticity Model

    OpenAIRE

    Saedi, Mehdi; Wolk, Jared

    2012-01-01

    This paper compares a standard GARCH model with a Constant Elasticity of Variance GARCH model across three major currency pairs and the S&P 500 index. We discuss the advantages and disadvantages of using a more sophisticated model designed to estimate the variance of variance instead of assuming it to be a linear function of the conditional variance. The current stochastic volatility and GARCH analogues rest upon this linear assumption. We are able to confirm through empirical estimation ...

  15. Valuing structure, model uncertainty and model averaging in vector autoregressive processes

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2004-01-01

    textabstractEconomic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the model. Accurate inference on structura

  16. Financial Development and Energy Consumption Nexus in Nigeria: An Application of Autoregressive Distributed Lag Bound Testing Approach

    OpenAIRE

    Hamisu Sadi Ali; Zulkornain Bin Yusop; Law Siong Hook

    2015-01-01

    Using autoregressive distributed lag bound test framework, the dynamics of financial development, economic growth, energy prices and energy consumption was investigated in Nigeria for the period of 1972Q1-2011Q4. The finding signifies that variables were cointegrated as null hypothesis was rejected at 1% level of significance. In the short-run financial development has significant negative impact on fossil fuel consumption, economic growth also shows the same relationship. However, energy pri...

  17. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against persistence and Auto...

  18. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2012-01-01

    optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence...

  19. Acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor from autoregressive models

    Energy Technology Data Exchange (ETDEWEB)

    Geraldo, Issa Cherif [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Bose, Tanmoy [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Pekpe, Komi Midzodzi, E-mail: midzodzi.pekpe@univ-lille1.fr [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Cassar, Jean-Philippe [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Mohanty, A.R. [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Paumel, Kévin [CEA, DEN, Nuclear Technology Department, F-13108 Saint-Paul-lez-Durance (France)

    2014-10-15

    Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected.

  20. Acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor from autoregressive models

    International Nuclear Information System (INIS)

    Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected

  1. Long-term prediction of emergency department revenue and visitor volume using autoregressive integrated moving average model.

    Science.gov (United States)

    Chen, Chieh-Fan; Ho, Wen-Hsien; Chou, Huei-Yin; Yang, Shu-Mei; Chen, I-Te; Shi, Hon-Yi

    2011-01-01

    This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA) model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.

  2. Long-Term Prediction of Emergency Department Revenue and Visitor Volume Using Autoregressive Integrated Moving Average Model

    Directory of Open Access Journals (Sweden)

    Chieh-Fan Chen

    2011-01-01

    Full Text Available This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.

  3. Multivariate autoregressive modelling combined with transcephalic electrical impedance: method to relate neonatal systemic circulation and respiration to cerebral circulation.

    Science.gov (United States)

    Grönlund, J U; Jalonen, J; Korhonen, I; Rolfe, P; Välimäki, I A

    1995-05-01

    We studied the pulsatile component of cerebral circulation with transcephalic electrical impedance (delta Z) in six preterm newborns, three of whom had severe cerebral bleeding, peri-intraventricular haemorrhage (PIVH). The transcephalic electrical impedance delta Z signal, ECG, arterial blood pressure, (aBP) and respirogram were recorded on analogue magnetic tape for 30 min. Artefact-free stationary segments (lasting for 2 min) of the four signals were digitised. A digital multivariate autoregressive (MAR) model was used to study frequency-specific variability in the signals and to quantify interrelations between the variabilities of delta Z, HR, aBP and respiratory signals. MAR modelling describes a system where all the signals simultaneously explain each other. The inherent variability of delta Z was lower and the influences of respiration and aBP on delta Z significantly greater in infants with severe PIVH than in controls. These changes were observed at high frequencies corresponding to respiration and heart rate. This may be interpreted as a marker of pressure passivism in the cerebral circulation following PIVH. We conclude that in preterm babies the application of MAR modelling, together with transcephalic impedance, may be a new, helpful and quantitative method for the study of simultaneous interrelations between variables of cerebral and systemic circulations and respiration.

  4. Time-frequency representation based on time-varying autoregressive model with applications to non-stationary rotor vibration analysis

    Indian Academy of Sciences (India)

    Long Zhang; Guoliang Xiong; Hesheng Liu; Huijun Zou; Weizhong Guo

    2010-04-01

    A parametric time-frequency representation is presented based on timevarying autoregressive model (TVAR), followed by applications to non-stationary vibration signal processing. The identification of time-varying model coefficients and the determination of model order, are addressed by means of neural networks and genetic algorithms, respectively. Firstly, a simulated signal which mimic the rotor vibration during run-up stages was processed for a comparative study on TVAR and other non-parametric time-frequency representations such as Short Time Fourier Transform, Continuous Wavelet Transform, Empirical Mode Decomposition, Wigner–Ville Distribution and Choi–Williams Distribution, in terms of their resolutions, accuracy, cross term suppression as well as noise resistance. Secondly, TVAR was applied to analyse non-stationary vibration signals collected from a rotor test rig during run-up stages, with an aim to extract fault symptoms under non-stationary operating conditions. Simulation and experimental results demonstrate that TVAR is an effective solution to non-stationary signal analysis and has strong capability in signal time-frequency feature extraction.

  5. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting.

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.

  6. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method. PMID:26550010

  7. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting.

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method. PMID:26550010

  8. Time-frequency analysis of heart rate variability during the cold pressor test using a time-varying autoregressive model

    International Nuclear Information System (INIS)

    Heart rate variability is a useful clinical tool for autonomic function assessment and cardiovascular disease diagnosis. To investigate the dynamic changes of sympathetic and parasympathetic activities during the cold pressor test, we used a time-varying autoregressive model for the time-frequency analysis of heart rate variability in 101 healthy subjects. We found that there were two sympathetic peaks (or two parasympathetic valleys) when the abrupt changes of temperature (ACT) occurred at the beginning and the end of the cold stimulus and that the sympathetic and parasympathetic activities returned to normal in about the last 2 min of the cold stimulus. These findings suggested that the ACT rather than the low temperature was the major cause of the sympathetic excitation and parasympathetic withdrawal. We also found that the onsets of the sympathetic peaks were 4–26 s prior to the ACT and the returns to normal were 54–57 s after the ACT, which could be interpreted as the feedforward and adaptation of the autonomic regulation process in the human body, respectively. These results might be helpful for understanding the regulatory mechanisms of the autonomic system and its effects on the cardiovascular system. (paper)

  9. Deep AutoRegressive Networks

    OpenAIRE

    Gregor, Karol; Danihelka, Ivo; Mnih, Andriy; Blundell, Charles; Wierstra, Daan

    2013-01-01

    We introduce a deep, generative autoencoder capable of learning hierarchies of distributed representations from data. Successive deep stochastic hidden layers are equipped with autoregressive connections, which enable the model to be sampled from quickly and exactly via ancestral sampling. We derive an efficient approximate parameter estimation method based on the minimum description length (MDL) principle, which can be seen as maximising a variational lower bound on the log-likelihood, with ...

  10. Sufficient conditions for rate-independent hysteresis in autoregressive identified models

    Science.gov (United States)

    Martins, Samir Angelo Milani; Aguirre, Luis Antonio

    2016-06-01

    This paper shows how hysteresis can be described using polynomial models and what are the sufficient conditions to be met by the model in order to have hysteresis. Such conditions are related to the model equilibria, to the forcing function and to certain term clusters in the polynomial models. The main results of the paper are used in the identification and analysis of nonlinear models estimated from data produced by a magneto-rheological damper (MRD) model with Bouc-Wen rate-independent hysteresis. A striking feature of the identified model is its simplicity and this could turn out to be a key factor in controller design.

  11. Day of the year-based prediction of horizontal global solar radiation by a neural network auto-regressive model

    Science.gov (United States)

    Gani, Abdullah; Mohammadi, Kasra; Shamshirband, Shahaboddin; Khorasanizadeh, Hossein; Seyed Danesh, Amir; Piri, Jamshid; Ismail, Zuraini; Zamani, Mazdak

    2016-08-01

    The availability of accurate solar radiation data is essential for designing as well as simulating the solar energy systems. In this study, by employing the long-term daily measured solar data, a neural network auto-regressive model with exogenous inputs (NN-ARX) is applied to predict daily horizontal global solar radiation using day of the year as the sole input. The prime aim is to provide a convenient and precise way for rapid daily global solar radiation prediction, for the stations and their immediate surroundings with such an observation, without utilizing any meteorological-based inputs. To fulfill this, seven Iranian cities with different geographical locations and solar radiation characteristics are considered as case studies. The performance of NN-ARX is compared against the adaptive neuro-fuzzy inference system (ANFIS). The achieved results prove that day of the year-based prediction of daily global solar radiation by both NN-ARX and ANFIS models would be highly feasible owing to the accurate predictions attained. Nevertheless, the statistical analysis indicates the superiority of NN-ARX over ANFIS. In fact, the NN-ARX model represents high potential to follow the measured data favorably for all cities. For the considered cities, the attained statistical indicators of mean absolute bias error, root mean square error, and coefficient of determination for the NN-ARX models are in the ranges of 0.44-0.61 kWh/m2, 0.50-0.71 kWh/m2, and 0.78-0.91, respectively.

  12. A Poisson-lognormal conditional-autoregressive model for multivariate spatial analysis of pedestrian crash counts across neighborhoods.

    Science.gov (United States)

    Wang, Yiyi; Kockelman, Kara M

    2013-11-01

    This work examines the relationship between 3-year pedestrian crash counts across Census tracts in Austin, Texas, and various land use, network, and demographic attributes, such as land use balance, residents' access to commercial land uses, sidewalk density, lane-mile densities (by roadway class), and population and employment densities (by type). The model specification allows for region-specific heterogeneity, correlation across response types, and spatial autocorrelation via a Poisson-based multivariate conditional auto-regressive (CAR) framework and is estimated using Bayesian Markov chain Monte Carlo methods. Least-squares regression estimates of walk-miles traveled per zone serve as the exposure measure. Here, the Poisson-lognormal multivariate CAR model outperforms an aspatial Poisson-lognormal multivariate model and a spatial model (without cross-severity correlation), both in terms of fit and inference. Positive spatial autocorrelation emerges across neighborhoods, as expected (due to latent heterogeneity or missing variables that trend in space, resulting in spatial clustering of crash counts). In comparison, the positive aspatial, bivariate cross correlation of severe (fatal or incapacitating) and non-severe crash rates reflects latent covariates that have impacts across severity levels but are more local in nature (such as lighting conditions and local sight obstructions), along with spatially lagged cross correlation. Results also suggest greater mixing of residences and commercial land uses is associated with higher pedestrian crash risk across different severity levels, ceteris paribus, presumably since such access produces more potential conflicts between pedestrian and vehicle movements. Interestingly, network densities show variable effects, and sidewalk provision is associated with lower severe-crash rates. PMID:24036167

  13. A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

    DEFF Research Database (Denmark)

    Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard

    2007-01-01

    A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...

  14. Non-contact video-based vital sign monitoring using ambient light and auto-regressive models.

    Science.gov (United States)

    Tarassenko, L; Villarroel, M; Guazzi, A; Jorge, J; Clifton, D A; Pugh, C

    2014-05-01

    Remote sensing of the reflectance photoplethysmogram using a video camera typically positioned 1 m away from the patient's face is a promising method for monitoring the vital signs of patients without attaching any electrodes or sensors to them. Most of the papers in the literature on non-contact vital sign monitoring report results on human volunteers in controlled environments. We have been able to obtain estimates of heart rate and respiratory rate and preliminary results on changes in oxygen saturation from double-monitored patients undergoing haemodialysis in the Oxford Kidney Unit. To achieve this, we have devised a novel method of cancelling out aliased frequency components caused by artificial light flicker, using auto-regressive (AR) modelling and pole cancellation. Secondly, we have been able to construct accurate maps of the spatial distribution of heart rate and respiratory rate information from the coefficients of the AR model. In stable sections with minimal patient motion, the mean absolute error between the camera-derived estimate of heart rate and the reference value from a pulse oximeter is similar to the mean absolute error between two pulse oximeter measurements at different sites (finger and earlobe). The activities of daily living affect the respiratory rate, but the camera-derived estimates of this parameter are at least as accurate as those derived from a thoracic expansion sensor (chest belt). During a period of obstructive sleep apnoea, we tracked changes in oxygen saturation using the ratio of normalized reflectance changes in two colour channels (red and blue), but this required calibration against the reference data from a pulse oximeter. PMID:24681430

  15. Non-contact video-based vital sign monitoring using ambient light and auto-regressive models

    International Nuclear Information System (INIS)

    Remote sensing of the reflectance photoplethysmogram using a video camera typically positioned 1 m away from the patient’s face is a promising method for monitoring the vital signs of patients without attaching any electrodes or sensors to them. Most of the papers in the literature on non-contact vital sign monitoring report results on human volunteers in controlled environments. We have been able to obtain estimates of heart rate and respiratory rate and preliminary results on changes in oxygen saturation from double-monitored patients undergoing haemodialysis in the Oxford Kidney Unit. To achieve this, we have devised a novel method of cancelling out aliased frequency components caused by artificial light flicker, using auto-regressive (AR) modelling and pole cancellation. Secondly, we have been able to construct accurate maps of the spatial distribution of heart rate and respiratory rate information from the coefficients of the AR model. In stable sections with minimal patient motion, the mean absolute error between the camera-derived estimate of heart rate and the reference value from a pulse oximeter is similar to the mean absolute error between two pulse oximeter measurements at different sites (finger and earlobe). The activities of daily living affect the respiratory rate, but the camera-derived estimates of this parameter are at least as accurate as those derived from a thoracic expansion sensor (chest belt). During a period of obstructive sleep apnoea, we tracked changes in oxygen saturation using the ratio of normalized reflectance changes in two colour channels (red and blue), but this required calibration against the reference data from a pulse oximeter. (paper)

  16. Semi-Parametric, Generalized Additive Vector Autoregressive Models of Spatial Price Dynamics

    OpenAIRE

    Guney, Selin; Barry K. Goodwin

    2013-01-01

    An extensive empirical literature addressing the behavior of prices over time and across spatially distinct markets has grown substantially over time. A fundamental axiom of economics--the "Law of One Price"--underlies the arbitrage behavior thought to characterize such relationships. This literature has progressed from a simple consideration of correlation coecents and linear regression models to classes of models that address particular time series properties of price data and consider nonl...

  17. An application of Auto-regressive (AR) model in predicting Aeroelastic Effectsof Lekki Cable Stayed Bridge

    OpenAIRE

    Hassan Abba Musa; Dr. A. Mohammed

    2016-01-01

    In current practice, the predictive analysis of stochastic problems encompasses a variety of statistical techniques from modeling, machine, and data mining that analyse current and historical facts to make predictions about future. Therefore, this research uses an AR Model whose codes are incorporated in the MATLAB software to predict possible aero-elastic effects of Lekki Bridge based on its existing parametric data and the conditions around the bridge. It was seen that, the fluc...

  18. Automating Vector Autoregression on Electronic Patient Diary Data.

    Science.gov (United States)

    Emerencia, Ando Celino; van der Krieke, Lian; Bos, Elisabeth H; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco

    2016-03-01

    Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still require statistical expertize to operate. We propose a new application called Autovar, for the automation of finding vector autoregression models for time series data. The approach closely resembles the way in which experts work manually. Our proposal offers improvements over the manual approach by leveraging computing power, e.g., by considering multiple alternatives instead of choosing just one. In this paper, we describe the design and implementation of Autovar, we compare its performance against experts working manually, and we compare its features to those of the most used commercial solution available today. The main contribution of Autovar is to show that vector autoregression on a large scale is feasible. We show that an exhaustive approach for model selection can be relatively safe to use. This study forms an important step toward making adaptive, personalized treatment available and affordable for all branches of healthcare.

  19. Automating Vector Autoregression on Electronic Patient Diary Data.

    Science.gov (United States)

    Emerencia, Ando Celino; van der Krieke, Lian; Bos, Elisabeth H; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco

    2016-03-01

    Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still require statistical expertize to operate. We propose a new application called Autovar, for the automation of finding vector autoregression models for time series data. The approach closely resembles the way in which experts work manually. Our proposal offers improvements over the manual approach by leveraging computing power, e.g., by considering multiple alternatives instead of choosing just one. In this paper, we describe the design and implementation of Autovar, we compare its performance against experts working manually, and we compare its features to those of the most used commercial solution available today. The main contribution of Autovar is to show that vector autoregression on a large scale is feasible. We show that an exhaustive approach for model selection can be relatively safe to use. This study forms an important step toward making adaptive, personalized treatment available and affordable for all branches of healthcare. PMID:25680221

  20. Robust Burg estimation of stationary autoregressive mixtures covariance

    Science.gov (United States)

    Decurninge, Alexis; Barbaresco, Frédéric

    2015-01-01

    Burg estimators are classically used for the estimation of the autocovariance of a stationary autoregressive process. We propose to consider scale mixtures of stationary autoregressive processes, a non-Gaussian extension of the latter. The traces of such processes are Spherically Invariant Random Vectors (SIRV) with a constraint on the scatter matrix due to the autoregressive model. We propose adaptations of the Burg estimators to the considered models and their associated robust versions based on geometrical considerations.

  1. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

    DEFF Research Database (Denmark)

    Teräsvirta, Timo; Yang, Yukai

    is illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists...

  2. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

    DEFF Research Database (Denmark)

    Amado, Cristina; Teräsvirta, Timo

    -run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange...

  3. The Employment of spatial autoregressive models in predicting demand for natural gas

    International Nuclear Information System (INIS)

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  4. An application of Auto-regressive (AR model in predicting Aeroelastic Effectsof Lekki Cable Stayed Bridge

    Directory of Open Access Journals (Sweden)

    Hassan Abba Musa

    2016-06-01

    Full Text Available In current practice, the predictive analysis of stochastic problems encompasses a variety of statistical techniques from modeling, machine, and data mining that analyse current and historical facts to make predictions about future. Therefore, this research uses an AR Model whose codes are incorporated in the MATLAB software to predict possible aero-elastic effects of Lekki Bridge based on its existing parametric data and the conditions around the bridge. It was seen that, the fluctuating components of the wind velocity as displayed by the fluctuant curve will result in the vibration of the structure, even strengthening the resonance effect of the structure. Therefore, it suggested that, the natural frequency of the bridge should be set aside far from system frequency considering direct parametric excitation of pedestrian or vehicular traffic speed.

  5. FACE EXPRESSION RECOGNITION USING AUTOREGRESSIVE MODELS TO TRAIN NEURAL NETWORK CLASSIFIERS

    OpenAIRE

    M. Saaidia; A. Gattal; M. Maamri; M. Ramdani

    2012-01-01

    Neural network classifying method is used in this work to perform facial expression recognition. The processed expressions were the six most pertinent facial expressions and the neutral one. This operation was implemented in three steps. First, a neural network, trained using Zernike moments, was applied to the set of the well known Yale and JAFFE database images to perform face detection. In the second step, Auto Regressive modeling (AR) using 2D- Burg and Levinson filters was used for facia...

  6. OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version

    OpenAIRE

    Mynbaev, Kairat

    2009-01-01

    We find the asymptotic distribution of the OLS estimator of the parameters $% \\beta$ and $\\rho$ in the mixed spatial model with exogenous regressors $% Y_n=X_n\\beta+\\rho W_nY_n+V_n$. The exogenous regressors may be bounded or growing, like polynomial trends. The assumption about the spatial matrix $W_n $ is appropriate for the situation when each economic agent is influenced by many others. The error term is a short-memory linear process. The key finding is that in general the asymptotic dist...

  7. 一种基于加权隐马尔可夫的自回归状态预测模型%Research on Condition Trend Prediction Based on Weighed Hidden Markov and Autoregressive Model

    Institute of Scientific and Technical Information of China (English)

    刘震; 王厚军; 龙兵; 张治国

    2009-01-01

    针对电子系统状态趋势预测问题,提出了一种加权隐马尔可夫模型的自回归趋势预测方法.该方法以自回归模型作为隐马尔可夫的状态输出,利用加权预测思想对马尔可夫链中的隐状态进行混合高斯模型的加权序列预测,并利用最大概率隐状态下的自回归系数计算模型输出.通过对实际的复杂混沌序列和电子系统BIT状态数据进行趋势预测,并针对不同模型参数下的预测结果进行实验分析,结果表明该方法对系统状态变化的趋势具有较好的预测性能.%A novel trend prediction approach based on weighed hidden Markov model (HMM) and autoregressive model (AR) is presented in order to solve this problem of bend prediction for complex electronic system. This approach regards the autoregressive model as the output of HMM, uses weighted prediction method and mixed Gaussianin model to predict the hidden state of Markov chain,and calculates the output of model by using the regression coefficient of the maximum probability hidden state. This approach is applied to the trend prediction of complex chaotic time series and typical electronic equipment's BIT data, and the effects of various model parameters on trend prediction precision are discussed.The experiments based on condition trend prediction for electronic equipments demonstrate the effectiveness of the method.

  8. ARES:Autoregressive Emotion-Sensitive Model for Predicting Sales Performance%ARES:用于预测的情感感知自回归模型

    Institute of Scientific and Technical Information of China (English)

    李雪妮; 张绍武; 杨亮; 林鸿飞

    2013-01-01

    Along with the vigorous development of Web 2.0,lots of comments that represent the voices of customers appeared on the Internet,and the general public's sentiments toward products are increasingly influenced by the underlying viewpoints.Therefore mining the sentiment information from reviews would produce practical values for predicting sales performance and adjusting market strategy.Aiming at this problem,based on the result of the analysis on the characteristics of online book reviews,it proposes a sentiment analysis method.First,a polarity word dictionary is automatically constructed by the part of speech list and the prefix list.Afterwards the sentiments in the reviews can be extracted based on the polarity dictionary.Finally,the paper presents an ARES (autoregressive emotion-sensitive model),to utilize the emotion information acquired by the sentiment analysis method for predicting sales performance.Experiments are conducted on a book data set.By comparing the ARES with alternative models that do not take sentiment information into consideration,as well as a model with a different sentiment analysis method,the results,on the one hand,indicate that our sentiment analysis approach could generate a well summary of the review itself,and on the other hand,confirm the effectiveness of the proposed prediction model.%随着Web2.0的蓬勃发展,互联网上产生了大量由用户发表的评论,其中表达的观点看法对大众消费的影响越来越大,因此分析评论中蕴含的情感信息对产品销量的预测以及市场战略的调整有实际意义.针对这一问题,在分析图书销售领域网络评论特点的基础上,提出了相应的情感分析方法,首先利用词性列表及前缀词典完成极性词词典的自动抽取与构建,然后采用基于词典的方法对图书的评论内容进行情感分析及量化,最后通过将抽取的情感因素融合到自回归模型中,建立了新的预测模型——情感感知自回归模型(autoregressive

  9. Bayesian Vector Autoregressions with Stochastic Volatility

    NARCIS (Netherlands)

    Uhlig, H.F.H.V.S.

    1996-01-01

    This paper proposes a Bayesian approach to a vector autoregression with stochastic volatility, where the multiplicative evolution of the precision matrix is driven by a multivariate beta variate.Exact updating formulas are given to the nonlinear filtering of the precision matrix.Estimation of the au

  10. Exploring the Mechanisms of Ecological Land Change Based on the Spatial Autoregressive Model: A Case Study of the Poyang Lake Eco-Economic Zone, China

    Directory of Open Access Journals (Sweden)

    Hualin Xie

    2013-12-01

    Full Text Available Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p < 0.05. The results also imply that the clustering trend of ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.

  11. Autoregressive description of biological phenomena

    CERN Document Server

    Morariu, Vasile V; Pop, Alexadru; Soltuz, Stefan M; Buimaga-Iarinca, Luiza; Zainea, Oana

    2008-01-01

    Many natural phenomena can be described by power-laws. A closer look at various experimental data reveals more or less significant deviations from a 1/f spectrum. We exemplify such cases with phenomena offered by molecular biology, cell biophysics, and cognitive psychology. Some of these cases can be described by first order autoregressive (AR) models or by higher order AR models which are short range correlation models. The calculations are checked against astrophysical data which were fitted to a an AR model by a different method. We found that our fitting method of the data give similar results for the astrhophysical data and therefore applied the method for examples mentioned above. Our results show that such phenomena can be described by first or higher order of AR models. Therefore such examples are described by short range correlation properties while they can be easily confounded with long range correlation phenomena.

  12. Oracle Inequalities for High Dimensional Vector Autoregressions

    DEFF Research Database (Denmark)

    Callot, Laurent; Kock, Anders Bredahl

    This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order...... hence the correct sparsity pattern). Finally conditions under which the Adaptive LASSO reveals the correct sign pattern with probability tending to one are given. Again, the number of parameters may be much larger than the sample size. Some maximal inequalities for vector autoregressions which might...

  13. A wavelet-based non-linear autoregressive with exogenous inputs (WNARX) dynamic neural network model for real-time flood forecasting using satellite-based rainfall products

    Science.gov (United States)

    Nanda, Trushnamayee; Sahoo, Bhabagrahi; Beria, Harsh; Chatterjee, Chandranath

    2016-08-01

    Although flood forecasting and warning system is a very important non-structural measure in flood-prone river basins, poor raingauge network as well as unavailability of rainfall data in real-time could hinder its accuracy at different lead times. Conversely, since the real-time satellite-based rainfall products are now becoming available for the data-scarce regions, their integration with the data-driven models could be effectively used for real-time flood forecasting. To address these issues in operational streamflow forecasting, a new data-driven model, namely, the wavelet-based non-linear autoregressive with exogenous inputs (WNARX) is proposed and evaluated in comparison with four other data-driven models, viz., the linear autoregressive moving average with exogenous inputs (ARMAX), static artificial neural network (ANN), wavelet-based ANN (WANN), and dynamic nonlinear autoregressive with exogenous inputs (NARX) models. First, the quality of input rainfall products of Tropical Rainfall Measuring Mission Multi-satellite Precipitation Analysis (TMPA), viz., TRMM and TRMM-real-time (RT) rainfall products is assessed through statistical evaluation. The results reveal that the satellite rainfall products moderately correlate with the observed rainfall, with the gauge-adjusted TRMM product outperforming the real-time TRMM-RT product. The TRMM rainfall product better captures the ground observations up to 95 percentile range (30.11 mm/day), although the hit rate decreases for high rainfall intensity. The effect of antecedent rainfall (AR) and climate forecast system reanalysis (CFSR) temperature product on the catchment response is tested in all the developed models. The results reveal that, during real-time flow simulation, the satellite-based rainfall products generally perform worse than the gauge-based rainfall. Moreover, as compared to the existing models, the flow forecasting by the WNARX model is way better than the other four models studied herein with the

  14. A novel framework to simulating non-stationary, non-linear, non-Normal hydrological time series using Markov Switching Autoregressive Models

    Science.gov (United States)

    Birkel, C.; Paroli, R.; Spezia, L.; Tetzlaff, D.; Soulsby, C.

    2012-12-01

    In this paper we present a novel model framework using the class of Markov Switching Autoregressive Models (MSARMs) to examine catchments as complex stochastic systems that exhibit non-stationary, non-linear and non-Normal rainfall-runoff and solute dynamics. Hereby, MSARMs are pairs of stochastic processes, one observed and one unobserved, or hidden. We model the unobserved process as a finite state Markov chain and assume that the observed process, given the hidden Markov chain, is conditionally autoregressive, which means that the current observation depends on its recent past (system memory). The model is fully embedded in a Bayesian analysis based on Markov Chain Monte Carlo (MCMC) algorithms for model selection and uncertainty assessment. Hereby, the autoregressive order and the dimension of the hidden Markov chain state-space are essentially self-selected. The hidden states of the Markov chain represent unobserved levels of variability in the observed process that may result from complex interactions of hydroclimatic variability on the one hand and catchment characteristics affecting water and solute storage on the other. To deal with non-stationarity, additional meteorological and hydrological time series along with a periodic component can be included in the MSARMs as covariates. This extension allows identification of potential underlying drivers of temporal rainfall-runoff and solute dynamics. We applied the MSAR model framework to streamflow and conservative tracer (deuterium and oxygen-18) time series from an intensively monitored 2.3 km2 experimental catchment in eastern Scotland. Statistical time series analysis, in the form of MSARMs, suggested that the streamflow and isotope tracer time series are not controlled by simple linear rules. MSARMs showed that the dependence of current observations on past inputs observed by transport models often in form of the long-tailing of travel time and residence time distributions can be efficiently explained by

  15. To Investigation the Relationship between Monetary, Fiscal Policy and Economic Growth in Iran: Autoregressive Distributed Lag Approach to Cointegration

    Directory of Open Access Journals (Sweden)

    Anvar Khosravi

    2010-01-01

    Full Text Available Problem statement: It is important for policy makers to find affect of monetary and fiscal policy on economic growth and to know how those impacts on growth to present a effective policies. Approach: We apply the bounds testing (ARDL approach and to cointegration which is more appropriate for estimation in small sample studies. The data span for the study is from 1960-2006, the empirical results found a cointegration relations between Growth, monetary policy and fiscal policy in Iran. Results: The results indicated the impact of Exchange rate and inflation on growth was negative, government expenditure was found to have significant positive impact on growth. Conclusion: According to results for a sustainable economic growth in Iran, policy makers must try to decrease inflation rate and exchange rate also to find an equilibrium point for government expenditure in futures.

  16. Testing for vector autoregressive dynamics under heteroskedasticity

    NARCIS (Netherlands)

    C.M. Hafner (Christian); H. Herwartz

    2002-01-01

    textabstractIn this paper we introduce a bootstrap procedure to test parameter restrictions in vector autoregressive models which is robust in cases of conditionally heteroskedastic error terms. The adopted wild bootstrap method does not require any parametric specification of the volatility process

  17. Autoregressive Model-based Bolted Joints Fault Diagnosis%基于自回归模型的螺纹连接松动诊断

    Institute of Scientific and Technical Information of China (English)

    张言; 曾国英; 赵登峰; 栗明燕

    2012-01-01

    应用自回归模型分析法兰螺纹连接上下壳体的差值信号,进行螺纹连接松动诊断。在螺纹连接模型上,改变某一个螺钉的预紧力,将正常工况下的差值信号作为参考总体,并以此建立AR模型,其他预紧力下的差值信号为待检总体,分别计算参考总体与待检总体之间的Euclide距离和Mahalanobis距离。分析结果表明:基于自回归模型的几何距离是有效的螺纹连接松动指标,可以用于螺纹连接故障诊断。%An autoregressive model-based technique is proposed to detect flange screw-connected joints fault.The AR model can be validated by reference population which is defined as difference signal of normal conditions.The difference signal obtained in other preload conditions is defined as inspection population.The analyses of Euclide distance and Mahalanobis distance between reference population and inspection population indicate that autoregressive model-based geometrical distance is considered as effective index of screw-connected joints fault and it can be used to detect screw-connected joints fault.

  18. Autoregression of Quasi-Stationary Time Series (Invited)

    Science.gov (United States)

    Meier, T. M.; Küperkoch, L.

    2009-12-01

    Autoregression is a model based tool for spectral analysis and prediction of time series. It has the potential to increase the resolution of spectral estimates. However, the validity of the assumed model has to be tested. Here we review shortly methods for the determination of the parameters of autoregression and summarize properties of autoregressive prediction and autoregressive spectral analysis. Time series with a limited number of dominant frequencies varying slowly in time (quasi-stationary time series) may well be described by a time-dependent autoregressive model of low order. An algorithm for the estimation of the autoregression parameters in a moving window is presented. Time-varying dominant frequencies are estimated. The comparison to results obtained by Fourier transform based methods and the visualization of the time dependent normalized prediction error are essential for quality assessment of the results. The algorithm is applied to synthetic examples as well as to mircoseism and tremor. The sensitivity of the results to the choice of model and filter parameters is discussed. Autoregressive forward prediction offers the opportunity to detect body wave phases in seismograms and to determine arrival times automatically. Examples are shown for P- and S-phases at local and regional distances. In order to determine S-wave arrival times the autoregressive model is extended to multi-component recordings. For the detection of significant temporal changes in waveforms, the choice of the model appears to be less crucial compared to spectral analysis. Temporal changes in frequency, amplitude, phase, and polarisation are detectable by autoregressive prediction. Quality estimates of automatically determined onset times may be obtained from the slope of the absolute prediction error as a function of time and the signal-to-noise ratio. Results are compared to manual readings.

  19. Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2007-01-01

    textabstractA Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent s

  20. Hybrid Support Vector Regression and Autoregressive Integrated Moving Average Models Improved by Particle Swarm Optimization for Property Crime Rates Forecasting with Economic Indicators

    Directory of Open Access Journals (Sweden)

    Razana Alwee

    2013-01-01

    Full Text Available Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR and autoregressive integrated moving average (ARIMA to be applied in crime rates forecasting. SVR is very robust with small training data and high-dimensional problem. Meanwhile, ARIMA has the ability to model several types of time series. However, the accuracy of the SVR model depends on values of its parameters, while ARIMA is not robust to be applied to small data sets. Therefore, to overcome this problem, particle swarm optimization is used to estimate the parameters of the SVR and ARIMA models. The proposed hybrid model is used to forecast the property crime rates of the United State based on economic indicators. The experimental results show that the proposed hybrid model is able to produce more accurate forecasting results as compared to the individual models.

  1. Comparison of hidden and observed regime-switching autoregressive models for (u, v)-components of wind fields in the northeastern Atlantic

    Science.gov (United States)

    Bessac, Julie; Ailliot, Pierre; Cattiaux, Julien; Monbet, Valerie

    2016-02-01

    Several multi-site stochastic generators of zonal and meridional components of wind are proposed in this paper. A regime-switching framework is introduced to account for the alternation of intensity and variability that is observed in wind conditions due to the existence of different weather types. This modeling blocks time series into periods in which the series is described by a single model. The regime-switching is modeled by a discrete variable that can be introduced as a latent (or hidden) variable or as an observed variable. In the latter case a clustering algorithm is used before fitting the model to extract the regime. Conditional on the regimes, the observed wind conditions are assumed to evolve as a linear Gaussian vector autoregressive (VAR) model. Various questions are explored, such as the modeling of the regime in a multi-site context, the extraction of relevant clusterings from extra variables or from the local wind data, and the link between weather types extracted from wind data and large-scale weather regimes derived from a descriptor of the atmospheric circulation. We also discuss the relative advantages of hidden and observed regime-switching models. For artificial stochastic generation of wind sequences, we show that the proposed models reproduce the average space-time motions of wind conditions, and we highlight the advantage of regime-switching models in reproducing the alternation of intensity and variability in wind conditions.

  2. Estimation of Time Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In this work, we present a novel method for modeling time-varying autoregressive impulsive signals driven by symmetric alpha stable distributions. The proposed...

  3. Prediction of the Nighttime VLF Subionospheric Signal Amplitude by Using Nonlinear Autoregressive with Exogenous Input Neural Network Model

    Science.gov (United States)

    Santosa, H.; Hobara, Y.; Balikhin, M. A.

    2015-12-01

    Very Low Frequency (VLF) waves have been proposed as an approach to study and monitor the lower ionospheric conditions. The ionospheric perturbations are identified in relation with thunderstorm activity, geomagnetic storm and other factors. The temporal dependence of VLF amplitude has a complicated and large daily variabilities in general due to combinations of both effects from above (space weather effect) and below (atmospheric and crustal processes) of the ionosphere. Quantitative contributions from different external sources are not known well yet. Thus the modelling and prediction of VLF wave amplitude are important issues to study the lower ionospheric responses from various external parameters and to also detect the anomalies of the ionosphere. The purpose of the study is to model and predict nighttime average amplitude of VLF wave propagation from the VLF transmitter in Hawaii (NPM) to receiver in Chofu (CHO) Tokyo, Japan path using NARX neural network. The constructed model was trained for the target parameter of nighttime average amplitude of NPM-CHO path. The NARX model, which was built based on daily input variables of various physical parameters such as stratosphere temperature, cosmic rays and total column ozone, possessed good accuracies. As a result, the constructed models are capable of performing accurate multistep ahead predictions, while maintaining acceptable one step ahead prediction accuracy. The results of the predicted daily VLF amplitude are in good agreement with observed (true) value for one step ahead prediction (r = 0.92, RMSE = 1.99), multi-step ahead 5 days prediction (r = 0.91, RMSE = 1.14) and multi-step ahead 10 days prediction (r = 0.75, RMSE = 1.74). The developed model indicates the feasibility and reliability of predicting lower ionospheric properties by the NARX neural network approach, and provides physical insights on the responses of lower ionosphere due to various external forcing.

  4. Comparison of the ARMA, ARIMA, and the autoregressive artificial neural network models in forecasting the monthly inflow of Dez dam reservoir

    Science.gov (United States)

    Valipour, Mohammad; Banihabib, Mohammad Ebrahim; Behbahani, Seyyed Mahmood Reza

    2013-01-01

    SummaryThe goal of the present research is forecasting the inflow of Dez dam reservoir by using Auto Regressive Moving Average (ARMA) and Auto Regressive Integrated Moving Average (ARIMA) models while increasing the number of parameters in order to increase the forecast accuracy to four parameters and comparing them with the static and dynamic artificial neural networks. In this research, monthly discharges from 1960 to 2007 were used. The statistics related to first 42 years were used to train the models and the 5 past years were used to forecast. In ARMA and ARIMA models, the polynomial was derived respectively with four and six parameters to forecast the inflow. In the artificial neural network, the radial and sigmoid activity functions were used with several different neurons in the hidden layers. By comparing root mean square error (RMSE) and mean bias error (MBE), dynamic artificial neural network model with sigmoid activity function and 17 neurons in the hidden layer was chosen as the best model for forecasting inflow of the Dez dam reservoir. Inflow of the dam reservoir in the 12 past months shows that ARIMA model had a less error compared with the ARMA model. Static and Dynamic autoregressive artificial neural networks with activity sigmoid function can forecast the inflow to the dam reservoirs from the past 60 months.

  5. An autoregressive integrated moving average model for short-term prediction of hepatitis C virus seropositivity among male volunteer blood donors in Karachi, Pakistan

    Institute of Scientific and Technical Information of China (English)

    Saeed Akhtar; Shafquat Rozi

    2009-01-01

    AIM: To identify the stochastic autoregressive integrated moving average (ARIMA) model for short term forecasting of hepatitis C virus (HCV) seropositivity among volunteer blood donors in Karachi, Pakistan. METHODS: Ninety-six months (1998-2005) data on volunteer blood donors tested at four major blood banks in Karachi, Pakistan were subjected to ARIMA modeling. Subsequently, a fitted ARIMA model was used to forecast HCV seropositive donors for 91-96 mo to contrast with observed series of the same months. To assess the forecast accuracy, the mean absolute error rate (%) between the observed and predicted HCV seroprevalence was calculated. Finally, a fitted ARIMA model was used for short-term forecasts beyond the observed series. RESULTS: The goodness-of-fit test of the optimum ARIMA (2,1,7) model showed non- s igni f icant autocorrelations in the residuals of the model. The forecasts by ARIMA for 91-96 mo closely followed the pattern of observed series for the same months, with mean monthly absolute forecast errors (%) over 6 mo of 6.5%. The short-term forecasts beyond the observed series adequately captured the pattern in the data and showed increasing tendency of HCV seropositivity with CONCLUSION: To curtail HCV spread, public health authorities need to educate communities and health care providers about HCV transmission routes based on known HCV epidemiology in Pakistan and its neighboring countries. Future research may focus on factors associated with hyperendemic levels of HCV infection.

  6. Autoregressive moving average (ARMA) model applied to quantification of cerebral blood flow using dynamic susceptibility contrast-enhanced magnetic resonance imaging

    International Nuclear Information System (INIS)

    The purpose of this study was to investigate the feasibility of the autoregressive moving average (ARMA) model for quantification of cerebral blood flow (CBF) with dynamic susceptibility contrast-enhanced magnetic resonance imaging (DSC-MRI) in comparison with deconvolution analysis based on singular value decomposition (DA-SVD). Using computer simulations, we generated a time-dependent concentration of the contrast agent in the volume of interest (VOI) from the arterial input function (AIF) modeled as a gamma-variate function under various CBFs, cerebral blood volumes and signal-to-noise ratios (SNRs) for three different types of residue function (exponential, triangular, and box-shaped). We also considered the effects of delay and dispersion in AIF. The ARMA model and DA-SVD were used to estimate CBF values from the simulated concentration-time curves in the VOI and AIFs, and the estimated values were compared with the assumed values. We found that the CBF value estimated by the ARMA model was more sensitive to the SNR and the delay in AIF than that obtained by DA-SVD. Although the ARMA model considerably overestimated CBF at low SNRs, it estimated the CBF more accurately than did DA-SVD at high SNRs for the exponential or triangular residue function. We believe this study will contribute to an understanding of the usefulness and limitations of the ARMA model when applied to quantification of CBF with DSC-MRI. (author)

  7. MODELADO DEL PRECIO SPOT DE LA ELECTRICIDAD EN BRASIL USANDO UNA RED NEURONAL AUTORREGRESIVA ELECTRICITY SPOT PRICE MODELLING IN BRASIL USING AN AUTOREGRESSIVE NEURAL NETWORK

    Directory of Open Access Journals (Sweden)

    Juan D Velásquez

    2008-12-01

    Full Text Available Una red neuronal autorregresiva es estimada para el precio mensual brasileño de corto plazo de la electricidad, la cual describe mejor la dinámica de los precios que un modelo lineal autorregresivo y que un perceptrón multicapa clásico que usan las mismas entradas y neuronas en la capa oculta. El modelo propuesto es especificado usando un procedimiento estadístico basado en el contraste del radio de verosimilitud. El modelo pasa una batería de pruebas de diagnóstico. El procedimiento de especificación propuesto permite seleccionar el número de unidades en la capa oculta y las entradas a la red neuronal, usando pruebas estadísticas que tienen en cuenta la cantidad de los datos y el ajuste del modelo a la serie de precios. La especificación del modelo final demuestra que el precio para el próximo mes es una función no lineal del precio actual, de la energía afluente actual y de la energía almacenada en el embalse equivalente en el mes actual y dos meses atrás.An autoregressive neural network model is estimated for the monthly Brazilian electricity spot price, which describes the prices dynamics better than a linear autoregressive model and a classical multilayer perceptron using the same input and neurons in the hidden layer. The proposed model is specified using a statistical procedure based on a likelihood ratio test. The model passes a battery of diagnostic tests. The proposed specification procedure allows us to select the number of units in hidden layer and the inputs to the neural network based on statistical tests, taking into account the number of data and the model fitting to the price time series. The final model specification demonstrates that the price for the next month is a nonlinear function of the current price, the current energy inflow, and the energy saved in the equivalent reservoir in the current month and two months ago.

  8. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    OpenAIRE

    Zhihua Wang; Yongbo Zhang; Huimin Fu

    2014-01-01

    Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR) prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each predictio...

  9. PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013

    Directory of Open Access Journals (Sweden)

    VIAN RISKA AYUNING TYAS

    2014-08-01

    Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

  10. Fouling resistance prediction using artificial neural network nonlinear auto-regressive with exogenous input model based on operating conditions and fluid properties correlations

    Science.gov (United States)

    Biyanto, Totok R.

    2016-06-01

    Fouling in a heat exchanger in Crude Preheat Train (CPT) refinery is an unsolved problem that reduces the plant efficiency, increases fuel consumption and CO2 emission. The fouling resistance behavior is very complex. It is difficult to develop a model using first principle equation to predict the fouling resistance due to different operating conditions and different crude blends. In this paper, Artificial Neural Networks (ANN) MultiLayer Perceptron (MLP) with input structure using Nonlinear Auto-Regressive with eXogenous (NARX) is utilized to build the fouling resistance model in shell and tube heat exchanger (STHX). The input data of the model are flow rates and temperatures of the streams of the heat exchanger, physical properties of product and crude blend data. This model serves as a predicting tool to optimize operating conditions and preventive maintenance of STHX. The results show that the model can capture the complexity of fouling characteristics in heat exchanger due to thermodynamic conditions and variations in crude oil properties (blends). It was found that the Root Mean Square Error (RMSE) are suitable to capture the nonlinearity and complexity of the STHX fouling resistance during phases of training and validation.

  11. Nonparametric Autoregression Model on Consumer Price Index%居民消费价格指数的非参数自回归模型

    Institute of Scientific and Technical Information of China (English)

    代洪伟; 凌能祥

    2012-01-01

    The nonparametric autoregression model was established using the data of Chinese consumer pr/ce index in 2004 -2008. The OLS estimation, the orthogonal sequence estimation and spline est/mation were used to estimate the regressive function respectively. The result showed that the nonparametric model is superior to linear models and in the three estimation methods, the orthogonal sequence estimation is the best. Finally, the simulated and predicted results were eomoared with those oresented by LIU Chun - van based on ARIMA model.%利用我国2004年-2008年的居民消费价格指数数据,建立非参数自回归模型,并分别用线性最小二乘方法、正交序列方法和多项式样条方法进行了拟合和预测.结果表明,非参数模型优于线性模型;在三种估计方法中,正交序列估计方法优于其他两种方法.最后将模拟、预测的结果和刘春燕等建立的基于ARIMA模型模拟、预测的结果进行了比较.

  12. Detrended Fluctuation Analysis of Autoregressive Processes

    CERN Document Server

    Morariu, V V; Vamos, C; Soltuz, S

    2007-01-01

    Autoregressive processes (AR) have typical short-range memory. Detrended Fluctuation Analysis (DFA) was basically designed to reveal long range correlation in non stationary processes. However DFA can also be regarded as a suitable method to investigate both long-range and short range correlation in non-stationary and stationary systems. Applying DFA to AR processes can help understanding the non uniform correlation structure of such processes. We systematically investigated a first order autoregressive model AR(1) by DFA and established the relationship between the interaction constant of AR(1) and the DFA correlation exponent. The higher the interaction constant the higher is the short range correlation exponent. They are exponentially related. The investigation was extended to AR(2) processes. The presence of a distant positive interaction in addition to a near by interaction will increase the correlation exponent and the range of correlation while the effect of a distant negative interaction will decrease...

  13. Generalization of Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper introduces a generalization of Brownian motion with continuous sample paths and stationary, autoregressive increments. This process, which we call a Brownian ray with drift, is characterized by three parameters quantifying distinct effects of drift, volatility, and autoregressiveness. A Brownian ray with drift, conditioned on its state at the beginning of an interval, is another Brownian ray with drift over the interval, and its expected path over the interval is a ray with a slope that depends on the conditioned state. This paper shows how Brownian rays can be applied in finance for the analysis of queues or inventories and the valuation of options. We model a queue's net input process as a superposition of Brownian rays with drift and derive the transient distribution of the queue length conditional on past queue lengths and on past states of the individual Brownian rays comprising the superposition. The transient distributions of Regulated Brownian Motion and of the Regulated Brownian Bridge are...

  14. Identifying effective connectivity parameters in simulated fMRI: a direct comparison of switching linear dynamic system, stochastic dynamic causal, and multivariate autoregressive models

    Science.gov (United States)

    Smith, Jason F.; Chen, Kewei; Pillai, Ajay S.; Horwitz, Barry

    2013-01-01

    The number and variety of connectivity estimation methods is likely to continue to grow over the coming decade. Comparisons between methods are necessary to prune this growth to only the most accurate and robust methods. However, the nature of connectivity is elusive with different methods potentially attempting to identify different aspects of connectivity. Commonalities of connectivity definitions across methods upon which base direct comparisons can be difficult to derive. Here, we explicitly define “effective connectivity” using a common set of observation and state equations that are appropriate for three connectivity methods: dynamic causal modeling (DCM), multivariate autoregressive modeling (MAR), and switching linear dynamic systems for fMRI (sLDSf). In addition while deriving this set, we show how many other popular functional and effective connectivity methods are actually simplifications of these equations. We discuss implications of these connections for the practice of using one method to simulate data for another method. After mathematically connecting the three effective connectivity methods, simulated fMRI data with varying numbers of regions and task conditions is generated from the common equation. This simulated data explicitly contains the type of the connectivity that the three models were intended to identify. Each method is applied to the simulated data sets and the accuracy of parameter identification is analyzed. All methods perform above chance levels at identifying correct connectivity parameters. The sLDSf method was superior in parameter estimation accuracy to both DCM and MAR for all types of comparisons. PMID:23717258

  15. Exploring the Specifications of Spatial Adjacencies and Weights in Bayesian Spatial Modeling with Intrinsic Conditional Autoregressive Priors in a Small-area Study of Fall Injuries

    Directory of Open Access Journals (Sweden)

    Jane Law

    2016-03-01

    Full Text Available Intrinsic conditional autoregressive modeling in a Bayeisan hierarchical framework has been increasingly applied in small-area ecological studies. This study explores the specifications of spatial structure in this Bayesian framework in two aspects: adjacency, i.e., the set of neighbor(s for each area; and (spatial weight for each pair of neighbors. Our analysis was based on a small-area study of falling injuries among people age 65 and older in Ontario, Canada, that was aimed to estimate risks and identify risk factors of such falls. In the case study, we observed incorrect adjacencies information caused by deficiencies in the digital map itself. Further, when equal weights was replaced by weights based on a variable of expected count, the range of estimated risks increased, the number of areas with probability of estimated risk greater than one at different probability thresholds increased, and model fit improved. More importantly, significance of a risk factor diminished. Further research to thoroughly investigate different methods of variable weights; quantify the influence of specifications of spatial weights; and develop strategies for better defining spatial structure of a map in small-area analysis in Bayesian hierarchical spatial modeling is recommended.

  16. Intelligent Fault Diagnosis of Rolling Bearing Based on Wavelet Packet Autoregressive Model%基于小波包参数模型的滚动轴承智能故障诊断

    Institute of Scientific and Technical Information of China (English)

    李健宝; 彭涛

    2012-01-01

    针对平稳自回归模型无法准确描述滚动轴承振动信号的非平稳性,提出一种结合小波包分解与自回归模型的故障特征提取方法,以提取能准确反映轴承运行状态的特征向量.首先,通过小渡包变换对滚动轴承运行时产生的非平稳振动信号进行分解,得到一系列刻画原始信号特征的系数;然后,利用自相关算法对各系数建立自回归模型,并将自回归模型的参数作为特征向量;最后,采用支持向量机分类器对提取的特征向量进行故障分类,从而实现滚动轴承的智能故障诊断.仿真结果表明该方法的有效性.%Since the non-stationary of vibration signals cannot be fully described by the stationary autore-gression model, a feature extraction approach based on wavelet packet decomposition(WPD) and autoregressive (AR) model is proposed, and then the feature vectors are extracted to accurately reflect the running state of rolling bearing. Firstly, the non-stationary signals generated by rolling bearing vibration are decomposed into some coefficients by wavelet packet transformation. Then, the coefficients are modeled as AR model and the parameters of AR model are used as the feature vectors. Finally, fault patterns are recognized by the feature vectors using support vector machine (SVM) classifier, consequently the intelligent fault diagnosis is realized. The simulation results show the effectiveness of the proposed method.

  17. Exploring the relationship between urbanization and energy consumption in China using ARDL (autoregressive distributed lag) and FDM (factor decomposition model)

    International Nuclear Information System (INIS)

    The paper develops a function of energy consumption, population growth, economic growth and urbanization process, and provides fresh empirical evidences for urbanization and energy consumption for China over the period 1978-2008 through the use of ARDL testing approach and factor decomposition model. The results of the bounds test show that there is a stable long run relationship amongst total energy consumption, population, GDP (Gross domestic product) and urbanization level when total energy consumption is the dependent variable in China. The results of the causality test with ECM (error correction model) specification, the short run and long run dynamics of the interested variables are tested, indicating that there exists only a unidirectional Granger causality running from urbanization to total energy consumption both in the long run and in the short run. At present, the contribution share which urbanization drags the energy consumption is smaller than that in the past, and the intensity holds a downward trend. Therefore, together with enhancing energy efficiency, accelerating the urbanization process that can cut reliance on resource and energy dependent industries is a fundamental strategy to solve the sustainable development dilemma between energy consumption and urbanization.

  18. 自回归分布滞后模型在数控机床热误差建模中的应用%Application of Autoregressive Distributed Lag Model to Thermal Error Compensation of Machine Tools

    Institute of Scientific and Technical Information of China (English)

    苗恩铭; 龚亚运; 牛鹏程; 费业泰

    2013-01-01

    对多元线性回归模型、回归与残差AR叠合模型和自回归分布滞后模型3种热误差建模方法进行了介绍与比对分析.多元线性回归模型方法简单快捷,但因热误差呈非线性且具有互交作用,较难获得精确热误差数学模型.后两个模型均属时间序列分析方法,其优点是能够比较精确地建立热误差数学模型,两者的区别是叠合模型把参数估计分成两部分,而自回归分布滞后模型是统一估计参数,因此叠合模型的精度要低于自回归分布滞后模型精度,并通过实例验证,自回归分布滞后模型在精密数控机床热误差建模中具有较好的建模精度.%Three modeling methods are introduced and analyzed,including multiple linear regression model,congruence model which combine multiple linear regression model with AR model of its residual error and autoregressive distributed lag model.Multiple linear regression analysis is a simple and quick modeling method,but thermal error is nonlinear and interactive,and it is difficult to model a precise least squares model of thermal error.The congruence model and autoregressive distributed lag model belong to time series analysis method which has the advanced that the precise mathematical model can be established.The distinctions of the two models are that:the congruence model divided the parameter into two parts to estimate respectively,but autoregressive distributed lag model estimate parameter uniformly,so the accuracy of congruence model is lower than that of the autoregressive distributed lag model,and this conclusion is proved by the actual example that the autoregressive distributed lag model used to calculate the thermal error of precision CNC machine tools is a good way to improve modeling accuracy.

  19. 基于时间序列ARMA模型的振动故障预测%Vibration Faults Prediction Based on Time Series Autoregressive Moving Average (ARMA) Model

    Institute of Scientific and Technical Information of China (English)

    刘颖; 严军

    2011-01-01

    By making use of autoregressive moving average (ARMA) model and clustering method, the characteristic vectors of reference samples and fault samples were determined to identify the fault type according to the feature vector distance; and basing on the analog signals from the typical turbine faults, their ARMA prediction models were built to work out the characteristic vector of reference signals and test signals. The testing result proves the success of this method.%运用自回归滑动平均(ARMA)模型和聚类分析方法确定参考样本和故障样本的特征向量,通过特征向量的距离识别故障类型.根据汽轮机典型故障构造模拟信号,建立其ARMA预测模型,通过聚类分析得出标准信号及待测信号的特征向量.经验证,基于ARMA预测模型和聚类分析的方法能够正确识别故障类型.

  20. A Graphical Approach for Identifying Causal Relationship in Nonlinear Structural Vector Autoregressive Mo dels%非线性结构向量自回归模型因果关系的图模型辨识方法

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩; 杜翠真

    2014-01-01

    确定变量间的因果关系是时间序列分析的重要内容。传统的图模型因果推断算法有着明显的局限性,要求模型是线性的且噪声项服从Gauss分布。本文利用图模型方法辨识非线性结构向量自回归模型变量间的因果关系,给出了一种基于互信息和条件互信息的非线性结构向量自回归因果图模型结构的非参数辨识方法。数值模拟结果验证了方法的有效性。%It is important to detect and clarify the cause-effect relationships among variables in time series analysis. Traditional graphical models causality inference methods have a salient limitation that the model must be linear and with Gaussian noise. In this paper, we apply the graphical models to infer the causal relationships a-mong variables of nonlinear structural vector autoregressive models. We propose a nonparametric method which employs both the mutual information and condi-tional mutual information to identify the causal structure of nonlinear structural vector autoregressive causal graph model. Numerical simulations demonstrate the effectiveness of the method.

  1. Market Efficiency, Role of Earnings Information, and Stock Returns: A Vector Autoregressive Model Approach

    OpenAIRE

    Keiichi Kubota; Hitoshi Takehara

    2011-01-01

    This paper investigates how the information content contained in components of earnings is impounded into stock prices and provides new evidence on market efficiency for firms listed on the Tokyo Stock Exchange First and Second Sections. First, we conduct a conventional pooled Mishkin test to examine whether stocks are rationally priced or not, and claim how this particular test can result in misleading observations if we erroneously pool the data for the overall sample period by completely d...

  2. Series Arc Fault Identification in Low Voltage System Based on Autoregressive Parameter Model%基于自回归参数模型的低压系统串联电弧故障识别

    Institute of Scientific and Technical Information of China (English)

    雍静; 桂小智; 牛亮亮; 曾礼强

    2011-01-01

    This paper presents a series of experimental research results of series arc fault current characteristics in the circuits supplying for typical low-voltage single–phase electric appliances by using the arc generating device.A method based on autoregressive parameter model is proposed to identify series arc fault in low-voltage system.Its processes are as follows: built a 3-order Burg autoregressive(AR) model for the collected current signals,extracted its AR model parameters,and then realized the identification of normal circuit and series arc fault circuit by comparing distance measurement based Euclidean distance squares d 2 of their current signals.Experiments show that this approach not only be adequate for linear loads,but also for non-linear loads.In this paper,current signal recognition problem between non-linear load circuit and series arc fault circuit in low-voltage system is solved.Further more,it suggests a recommended value of the reference vector.%利用电弧发生装置对若干典型的低压单相用电设备在串联故障电弧回路中的工作电流特征进行模拟实验研究,提出了基于自回归参数模型的低压系统串联电弧故障识别方法。采用三阶Burg自回归(autoregressive,AR)模型对采集的电流信号建模,提取其AR模型参数,然后采用基于距离测度的欧氏距离平方d 2实现对低压单相负载在正常回路和串联电弧故障回路电流信号的特征识别和故障辨识。该方法不仅适用于线性负载回路,而且适用于非线性负载回路的串联电弧故障识别。自回归参数模型法有效解决了低压系统串联电弧故障回路与非线性负载回路的电流信号识别问题,论文也同时提出了使用该方法时的参考矢量建议值。

  3. 睡眠脑电的自回归模型阶数特性%Autoregressive Model Order Property for Sleep EEG

    Institute of Scientific and Technical Information of China (English)

    王涛; 王国辉; 冯焕清

    2004-01-01

    传统睡眠脑电(Sleep EEG)研究从信号的时域和频域的特征分析睡眠过程,通常根据功率谱观察信号中特定节律的出现和频带的分布.而功率谱估计中基于参数模型的方法得到广泛应用,但建模时通常只能根据经验选择一个固定较低的阶数.本文讨论了自回归模型阶数(Autoregressive model order,ARMO)估计准则的一些最新进展,并且统计了一段睡眠过程中EEG的阶数分布.结果显示EEG的ARMO分布集中在差别很大的几个区间,可以用来表示睡眠EEG分期内微结构和过渡过程,并在一定程度上提供EEG的特征和组成成分的信息.

  4. 平滑转换自回归模型的平稳性问题研究%Research on the Stationarity of Smooth Transition Autoregressive Model

    Institute of Scientific and Technical Information of China (English)

    赵春艳

    2012-01-01

    According to the definition of weakly stationary sequence, we consider that the sequence of smooth transition autoregressive model is not weakly stationary, and using the ADF statistic to test its stationarity makes no sense. Furthermore, based on Markov Chain ergodicity, we believe that the STAR model sequence is strictly stationary, and the joint limit of the model coefficients value ensures the stationarity of the model. Using the first order logarithmic STAR model as example, its stationary condition is|β+r|〈1, whiteβ can be equal to 1 and the absolute value can also he less than 1.%根据时间序列宽平稳的定义,本文认为,平滑转换自回归模型的序列不是宽平稳序列,利用ADF统计量检验其平稳性是没有意义的;其次,依据马尔科夫链的遍历性,我们认为,STAR模型的序列是严平稳序列,且通过对模型系数的联合取值的限制保证了模型的平稳性。以一阶对数平滑转换自回归模型为例,其平稳的条件是,β与r符号相反,且|β+r|〈1,β可以等于1,也可以绝对值小于1。

  5. Method of the response adjustment to the impulse of an autoregressive model for stability analysis; Metodo de ajuste de la respuesta al impulso de un modelo autorregresivo para analisis de estabilidad

    Energy Technology Data Exchange (ETDEWEB)

    Castillo D, R.; Ortiz V, J.; Ruiz E, J.A. [ININ, 52750 La Marquesa, Estado de Mexico (Mexico)

    2008-07-01

    The method of the response to the impulse of an autoregressive model for stability analysis of the nuclear boiling water reactors had one of the best behaviors in a range of stable operation conditions to quasi stables during the benchmark of stability of the Forsmark reactors. The method was developed in Mat lab and it uses the Gauss-Newton optimization method for to carry out the adjustment from the response to the impulse. In this work a program in Fortran of the response method to the impulse of an autoregressive model it was developed, which uses an adaptive optimization algorithm called NL2SOL, instead of the original method. This change is due that Gauss-Newton method doesn't converge in some cases to the best adjustment parameters for what the method has been substituted in the more recent Mat lab versions. Among the main obtained results it has that the programmed autoregressive model converges to a smaller order that the original method and while less stable is the reactor it is more big the difference in the order. Also was found an important difference in the first adjustment parameter being caused by the response magnitude to the impulse. As to for the decay ratio and oscillation frequency both programs presented acceptable results. (Author)

  6. Directed coupling in local field potentials of macaque V4 during visual short-term memory revealed by multivariate autoregressive models

    Directory of Open Access Journals (Sweden)

    Gregor M Hoerzer

    2010-05-01

    Full Text Available Processing and storage of sensory information is based on the interaction between different neural populations rather than the isolated activity of single neurons. In order to characterize the dynamic interaction and transient cooperation of sub-circuits within a neural network, multivariate autoregressive (MVAR models have proven to be an important analysis tool. In this study, we apply directed functional coupling based on MVAR models and describe the temporal and spatial changes of functional coupling between simultaneously recorded local field potentials (LFP in extrastriate area V4 during visual memory. Specifically, we compare the strength and directional relations of coupling based on Generalized Partial Directed Coherence (GDPC measures while two rhesus monkeys perform a visual short-term memory task. In both monkeys we find increases in theta power during the memory period that are accompanied by changes in directed coupling. These interactions are most prominent in the low frequency range encompassing the theta band (3-12~Hz and, more importantly, are asymmetric between pairs of recording sites. Furthermore, we find that the degree of interaction decreases as a function of distance between electrode positions, suggesting that these interactions are a predominantly local phenomenon. Taken together, our results show that directed coupling measures based on MVAR models are able to provide important insights into the spatial and temporal formation of local functionally coupled ensembles during visual memory in V4. Moreover, our findings suggest that visual memory is accompanied not only by a temporary increase of oscillatory activity in the theta band, but by a direction-dependent change in theta coupling, which ultimately represents a change in functional connectivity within the neural circuit.

  7. Directed coupling in local field potentials of macaque v4 during visual short-term memory revealed by multivariate autoregressive models.

    Science.gov (United States)

    Hoerzer, Gregor M; Liebe, Stefanie; Schloegl, Alois; Logothetis, Nikos K; Rainer, Gregor

    2010-01-01

    Processing and storage of sensory information is based on the interaction between different neural populations rather than the isolated activity of single neurons. In order to characterize the dynamic interaction and transient cooperation of sub-circuits within a neural network, multivariate autoregressive (MVAR) models have proven to be an important analysis tool. In this study, we apply directed functional coupling based on MVAR models and describe the temporal and spatial changes of functional coupling between simultaneously recorded local field potentials in extrastriate area V4 during visual memory. Specifically, we compare the strength and directional relations of coupling based on generalized partial directed coherence (GPDC) measures while two rhesus monkeys perform a visual short-term memory task. In both monkeys we find increases in theta power during the memory period that are accompanied by changes in directed coupling. These interactions are most prominent in the low frequency range encompassing the theta band (3-12 Hz) and, more importantly, are asymmetric between pairs of recording sites. Furthermore, we find that the degree of interaction decreases as a function of distance between electrode positions, suggesting that these interactions are a predominantly local phenomenon. Taken together, our results show that directed coupling measures based on MVAR models are able to provide important insights into the spatial and temporal formation of local functionally coupled ensembles during visual memory in V4. Moreover, our findings suggest that visual memory is accompanied not only by a temporary increase of oscillatory activity in the theta band, but by a direction-dependent change in theta coupling, which ultimately represents a change in functional connectivity within the neural circuit. PMID:20577632

  8. Bias in Cross-Sectional Analyses of Longitudinal Mediation: Partial and Complete Mediation under an Autoregressive Model

    Science.gov (United States)

    Maxwell, Scott E.; Cole, David A.; Mitchell, Melissa A.

    2011-01-01

    Maxwell and Cole (2007) showed that cross-sectional approaches to mediation typically generate substantially biased estimates of longitudinal parameters in the special case of complete mediation. However, their results did not apply to the more typical case of partial mediation. We extend their previous work by showing that substantial bias can…

  9. The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models

    Directory of Open Access Journals (Sweden)

    Daniela Spiesová

    2014-10-01

    Full Text Available Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate model for the prediction of non-stationary time series of exchange rates and then use this model to predict the trend of the development of European currencies against Euro. The uniqueness of this paper is in the fact that there are many expert studies dealing with the prediction of the currency pairs rates of the American dollar with other currency but there is only a limited number of scientific studies concerned with the long-term prediction of European currencies with the help of the integrated ARMA models even though the development of exchange rates has a crucial impact on all levels of economy and its prediction is an important indicator for individual countries, banks, companies and businessmen as well as for investors. The results of this study confirm that to predict the conditional variance and then to estimate the future values of exchange rates, it is adequate to use the ARIMA (1,1,1 model without constant, or ARIMA [(1,7,1,(1,7] model, where in the long-term, the square root of the conditional variance inclines towards stable value.

  10. Study of Feature Extraction Based on Autoregressive Modeling in ECG Automatic Diagnosis%ECG信号自动诊断中回归建模法特征提取的研究

    Institute of Scientific and Technical Information of China (English)

    葛丁飞; 侯北平; 项新建

    2007-01-01

    This article explores the ability of multivariate autoregressive model (MAR) and scalar AR model to extract the features from two-lead electrocardiogram signals in order to classify certain cardiac arrhythmias. The classification performance of four different ECG feature sets based on the model coefficients are shown. The data in the analysis including normal sinus rhythm,atria premature contraction, premature ventricular contraction, ventricular tachycardia, ventricular fibrillation and superventricular tachycardia is obtained from the MIT-BIH database. The classification is performed using a quadratic discriminant function. The results show the MAR coefficients produce the best results among the four ECG representations and the MAR modeling is a useful classification and diagnosis tool.

  11. AUTOREGRESSIVE MODEL AND POWER SPECTRUM CHARATERISTICS OF CURRENT SIGNAL IN HIGH FREQUENCY GROUP PULSE MICRO ELECTROCHEMICAL MACHINING

    Institute of Scientific and Technical Information of China (English)

    TANG Xinglun; ZHANG Zhijing; ZHOU Zhaoying; YANG Xiaodong

    2006-01-01

    The identification of the inter-electrode gap size in the high frequency group pulse micro-electrochemical machining (HGPECM) is mainly discussed. The auto-regressive(AR) model of group pulse current flowing across the cathode and the anode are created under different situations with different processing parameters and inter-electrode gap size. The AR model based on the current signals indicates that the order of the AR model is obviously different relating to the different processing conditions and the inter-electrode gap size; Moreover, it is different about the stability of the dynamic system, i.e. the white noise response of the Green's function of the dynamic system is diverse. In addition, power spectrum method is used in the analysis of the dynamic time series about the current signals with different inter-electrode gap size, the results show that there exists a strongest power spectrum peak, characteristic power spectrum(CPS), to the current signals related to the different inter-electrode gap size in the range of 0~5 kHz. Therefore, the CPS of current signals can implement the identification of the inter-electrode gap.

  12. Multivariate elliptically contoured autoregressive process

    OpenAIRE

    Taras Bodnar; Arjun K. Gupta

    2014-01-01

    In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-dia...

  13. Unit Root Vector Autoregression with volatility Induced Stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have...

  14. Unit root vector autoregression with volatility induced stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have...

  15. Identification and estimation of non-Gaussian structural vector autoregressions

    DEFF Research Database (Denmark)

    Lanne, Markku; Meitz, Mika; Saikkonen, Pentti

    Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non...

  16. Forecasting wind power - Modeling periodic and non-linear effects under conditional heteroscedasticity

    OpenAIRE

    Ziel, Florian; Croonenbroeck, Carsten; Ambach, Daniel

    2016-01-01

    In this article we present an approach that enables joint wind speed and wind power forecasts for a wind park. We combine a multivariate seasonal time varying threshold autoregressive moving average (TVARMA) model with a power threshold generalized autoregressive conditional heteroscedastic (power-TGARCH) model. The modeling framework incorporates diurnal and annual periodicity modeling by periodic B-splines, conditional heteroscedasticity and a complex autoregressive structure with non-linea...

  17. Spatial analysis of the dairy yield using a conditional autoregressive model / Análise espacial da produção leiteira usando um modelo autoregressivo condicional

    Directory of Open Access Journals (Sweden)

    João Domingos Scalon

    2010-07-01

    Full Text Available The dairy yield is one of the most important activities for the Brazilian economy and the use of statistical models may improve the decision making in this productive sector. The aim of this paper was to compare the performance of both the traditional linear regression model and the spatial regression model called conditional autoregressive (CAR to explain how some covariates may contribute for the dairy yield. This work used a database on dairy yield supplied by the Brazilian Institute of Geography and Statistics (IBGE and another database on geographical information of the state of Minas Gerais provided by the Integrated Program of Technological Use of Geographical Information (GEOMINAS. The results showed the superiority of the CAR model over the traditional linear regression model to explain the dairy yield. The CAR model allowed the identification of two different spatial clusters of counties related to the dairy yield in the state of Minas Gerais. The first cluster represents the region where one observes the biggest levels of dairy yield. It is formed by the counties of the Triângulo Mineiro. The second cluster is formed by the northern counties of the state that present the lesser levels of dairy yield. A produção de leite é uma das atividades mais importantes para a economia brasileira e o uso de modelos estatísticos pode auxiliar a tomada de decisão neste setor produtivo. O objetivo deste artigo foi comparar o desempenho do modelo de regressão linear tradicional e do modelo de regressão espacial, denominado de autoregressivo condicional (CAR, para explicar como algumas variáveis preditoras contribuem para a quantidade de leite produzido. Este trabalho usou uma base de dados sobre a produção de leite fornecida pelo Instituto Brasileiro de Geografia e Estatística (IBGE e outra base de dados sobre informações geográficas do estado de Minas Gerais, fornecida pelo Programa Integrado de Uso da Tecnologia de Geoprocessamento

  18. Kepler AutoRegressive Planet Search

    Science.gov (United States)

    Caceres, Gabriel Antonio; Feigelson, Eric

    2016-01-01

    The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; AR-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. The analysis procedures of the project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve. A periodogram based on the TCF is constructed to concentrate the signal of these periodic spikes. When a periodic transit is found, the model is displayed on a standard period-folded averaged light curve. Our findings to date on real

  19. Multivariate elliptically contoured autoregressive process

    Directory of Open Access Journals (Sweden)

    Taras Bodnar

    2014-05-01

    Full Text Available In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.

  20. Autoregressive Time Series Forecasting of Computational Demand

    CERN Document Server

    Sandholm, Thomas

    2007-01-01

    We study the predictive power of autoregressive moving average models when forecasting demand in two shared computational networks, PlanetLab and Tycoon. Demand in these networks is very volatile, and predictive techniques to plan usage in advance can improve the performance obtained drastically. Our key finding is that a random walk predictor performs best for one-step-ahead forecasts, whereas ARIMA(1,1,0) and adaptive exponential smoothing models perform better for two and three-step-ahead forecasts. A Monte Carlo bootstrap test is proposed to evaluate the continuous prediction performance of different models with arbitrary confidence and statistical significance levels. Although the prediction results differ between the Tycoon and PlanetLab networks, we observe very similar overall statistical properties, such as volatility dynamics.

  1. A MODEL FOR THE PALM OIL MARKET IN NIGERIA: AN ECONOMETRICS APPROACH

    OpenAIRE

    Henry Egwuma; Mad Nasir Shamsudin; Zainalabidin Mohamed; Nitty Hirawaty Kamarulzaman; Kelly Kai Seng Wong

    2016-01-01

    The aim of this study is to formulate and estimate a model for the palm oil market in Nigeria with a view to identifying principal factors that shape the Nigerian palm oil industry. Four structural equation models comprising palm oil production, import demand, domestic demand and producer price have been estimated using the autoregressive distributed lag (ARDL) cointegration approach over the 1970 to 2011 period. The results reveal that significant factors that influence the Ni...

  2. Temporal aggregation in first order cointegrated vector autoregressive

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    2006-01-01

    of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline....

  3. Automating Vector Autoregression on Electronic Patient Diary Data

    NARCIS (Netherlands)

    Emerencia, Ando Celino; Krieke, Lian van der; Bos, Elisabeth H.; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco

    2016-01-01

    Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still requir

  4. 城市间大气污染相互影响的VAR模型分析%Vector Autoregression Model for Analysis of Air Pollution Interactions between Cities

    Institute of Scientific and Technical Information of China (English)

    伍复胜; 管东生

    2013-01-01

    基于以往研究多采用大气数值模式分析污染物在不同城市之间的输送规律及内外源的贡献率,现从时间序列角度引入一个新方法,应用向量自回归模型的格兰杰因果关系检验、脉冲响应函数及方差分解技术,对广州、佛山、肇庆2003-2012年逐日空气污染指数进行模拟演算,得到城市间大气污染相互影响效应及其贡献.结果表明,广佛地区污染源对肇庆空气质量影响突出,肇庆并未成为广州和佛山的主要污染源.城市间大气污染相互影响存在明显的滞后效应,前7期累积作用较明显,污染物的累积效应容易导致区域性灰霾天气出现.佛山对广州的污染贡献达到了10.9%,广州对佛山的污染贡献相对偏小,佛山对肇庆的污染贡献接近30%,广佛肇经济圈应形成区域性大气污染联防联治机制.%Based on the use of atmospheric models for studying transportation of pollutants between cities as well as the contributions of inner and outer sources,from perspective of time series,Granger causality test,impulse response function and variance decomposition of vector autoregression model was introduced for studying daily air pollution index in Guangzhou,Foshan and Zhaoqing from 2003 to 2012.The air pollution interactions between cities were proved.It was found that air quality of Zhaoqing was heavily affected by pollutants from Foshan and Guangzhou while Zhaoqing was not a major pollution source of Guangzhou and Foshan.Regional haze was caused by the lagged and cumulative effects of pollutants,obvious impact was appeared before lagged 7.The contribution from Foshan to Guangzhou was 10.9% while it was lower from Guangzhou to Foshan.The contribution from Foshan to Zhaoqing was nearly up to 30%.It was necessary to establish regional air pollution prevention mechanism in the economic circle of Guangzhou,Foshan and Zhaoqing.

  5. The development of a non-linear autoregressive model with exogenous input (NARX) to model climate-water clarity relationships: reconstructing a historical water clarity index for the coastal waters of the southeastern USA

    Science.gov (United States)

    Lee, Cameron C.; Sheridan, Scott C.; Barnes, Brian B.; Hu, Chuanmin; Pirhalla, Douglas E.; Ransibrahmanakul, Varis; Shein, Karsten

    2016-08-01

    The coastal waters of the southeastern USA contain important protected habitats and natural resources that are vulnerable to climate variability and singular weather events. Water clarity, strongly affected by atmospheric events, is linked to substantial environmental impacts throughout the region. To assess this relationship over the long-term, this study uses an artificial neural network-based time series modeling technique known as non-linear autoregressive models with exogenous input (NARX models) to explore the relationship between climate and a water clarity index (KDI) in this area and to reconstruct this index over a 66-year period. Results show that synoptic-scale circulation patterns, weather types, and precipitation all play roles in impacting water clarity to varying degrees in each region of the larger domain. In particular, turbid water is associated with transitional weather and cyclonic circulation in much of the study region. Overall, NARX model performance also varies—regionally, seasonally and interannually—with wintertime estimates of KDI along the West Florida Shelf correlating to the actual KDI at r > 0.70. Periods of extreme (high) KDI in this area coincide with notable El Niño events. An upward trend in extreme KDI events from 1948 to 2013 is also present across much of the Florida Gulf coast.

  6. Characteristics of the transmission of autoregressive sub-patterns in financial time series

    Science.gov (United States)

    Gao, Xiangyun; An, Haizhong; Fang, Wei; Huang, Xuan; Li, Huajiao; Zhong, Weiqiong

    2014-09-01

    There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

  7. Identification Structural Vector Autoregressive Causal Graphical Models by Information Theory Criteria%结构向量自回归模型因果图的信息论辨识方法

    Institute of Scientific and Technical Information of China (English)

    魏岳嵩; 田铮; 肖艳婷

    2012-01-01

    Detecting the causal relationships among variables is an important content of time series analysis. In this paper, the causal relationships among variables of structural vector autoregressive model are studied using graphical models, time series causal graph is presented and the structural identification problem of the causal graph is investigated. A three-step procedure is developed to orient the causal direction based on the information theory criteria. The mutual informations and the conditional mutual informations are estimated by the correlation integral. Numerical results demonstrate that the proposed method is able to identify the causal structure of causal graph of structural vector autoregressive model very effectively.%由观测数据确定变量间的因果关系是时间序列分析的重要内容.本文利用图模型方法研究结构向量自回归模型变量间的因果关系,通过时间序列因果图的建立将问题转化为时间序列因果图结构的辨识.基于信息论方法提出了因果性定向的三步准则,利用关联积分估计互信息和条件互信息.模拟结果显示本方法能更有效地辨识结构向量自回归模型因果图的因果结构.

  8. Prediction of municipal solid waste generation using nonlinear autoregressive network.

    Science.gov (United States)

    Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Maulud, K N A

    2015-12-01

    Most of the developing countries have solid waste management problems. Solid waste strategic planning requires accurate prediction of the quality and quantity of the generated waste. In developing countries, such as Malaysia, the solid waste generation rate is increasing rapidly, due to population growth and new consumption trends that characterize society. This paper proposes an artificial neural network (ANN) approach using feedforward nonlinear autoregressive network with exogenous inputs (NARX) to predict annual solid waste generation in relation to demographic and economic variables like population number, gross domestic product, electricity demand per capita and employment and unemployment numbers. In addition, variable selection procedures are also developed to select a significant explanatory variable. The model evaluation was performed using coefficient of determination (R(2)) and mean square error (MSE). The optimum model that produced the lowest testing MSE (2.46) and the highest R(2) (0.97) had three inputs (gross domestic product, population and employment), eight neurons and one lag in the hidden layer, and used Fletcher-Powell's conjugate gradient as the training algorithm.

  9. Prediction of municipal solid waste generation using nonlinear autoregressive network.

    Science.gov (United States)

    Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Maulud, K N A

    2015-12-01

    Most of the developing countries have solid waste management problems. Solid waste strategic planning requires accurate prediction of the quality and quantity of the generated waste. In developing countries, such as Malaysia, the solid waste generation rate is increasing rapidly, due to population growth and new consumption trends that characterize society. This paper proposes an artificial neural network (ANN) approach using feedforward nonlinear autoregressive network with exogenous inputs (NARX) to predict annual solid waste generation in relation to demographic and economic variables like population number, gross domestic product, electricity demand per capita and employment and unemployment numbers. In addition, variable selection procedures are also developed to select a significant explanatory variable. The model evaluation was performed using coefficient of determination (R(2)) and mean square error (MSE). The optimum model that produced the lowest testing MSE (2.46) and the highest R(2) (0.97) had three inputs (gross domestic product, population and employment), eight neurons and one lag in the hidden layer, and used Fletcher-Powell's conjugate gradient as the training algorithm. PMID:26573690

  10. Autoregressive Logistic Regression Applied to Atmospheric Circulation Patterns

    Science.gov (United States)

    Guanche, Yanira; Mínguez, Roberto; Méndez, Fernando J.

    2013-04-01

    The study of atmospheric patterns, weather types or circulation patterns, is a topic deeply studied by climatologists, and it is widely accepted to disaggregate the atmospheric conditions over regions in a certain number of representative states. This consensus allows simplifying the study of climate conditions to improve weather predictions and a better knowledge of the influence produced by anthropogenic activities on the climate system. Once the atmospheric conditions have been reduced to a catalogue of representative states, it is desirable to dispose of numerical models to improve our understanding about weather dynamics, i.e. i) to analyze climate change studying trends in the probability of occurrence of weather types, ii) to study seasonality and iii) to analyze the possible influence of previous states (Autoregressive terms or Markov Chains). This work introduces the mathematical framework to analyze those effects from a qualitative point of view. In particular, an autoregressive logistic regression model, which has been successfully applied in medical and pharmacological research fields, is presented. The main advantages of autoregressive logistic regression are that i) it can be used to model polytomous outcome variables, such as circulation types, and ii) standard statistical software can be used for fitting purposes. To show the potential of these kind of models for analyzing atmospheric conditions, a case of study located in the Northeastern Atlantic is described. Results obtained show how the model is capable of dealing simultaneously with predictors related to different time scales, which can be used to simulate the behaviour of circulation patterns.

  11. A model-based approach to human identification using ECG

    Science.gov (United States)

    Homer, Mark; Irvine, John M.; Wendelken, Suzanne

    2009-05-01

    Biometrics, such as fingerprint, iris scan, and face recognition, offer methods for identifying individuals based on a unique physiological measurement. Recent studies indicate that a person's electrocardiogram (ECG) may also provide a unique biometric signature. Current techniques for identification using ECG rely on empirical methods for extracting features from the ECG signal. This paper presents an alternative approach based on a time-domain model of the ECG trace. Because Auto-Regressive Integrated Moving Average (ARIMA) models form a rich class of descriptors for representing the structure of periodic time series data, they are well-suited to characterizing the ECG signal. We present a method for modeling the ECG, extracting features from the model representation, and identifying individuals using these features.

  12. Detecting The Expected Rate of Return Volatility of Financing Instruments of Indonesian Islamic Banking through GARCH Modeling (Generalized Autoregressive Conditional Heteroscedasticity

    Directory of Open Access Journals (Sweden)

    Nurul Huda

    2015-04-01

    Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments

  13. Causality analysis of groundwater dynamics based on a Vector Autoregressive model in the semi-arid basin of Gundal (South India)

    Science.gov (United States)

    Mangiarotti, S.; Sekhar, M.; Berthon, L.; Javeed, Y.; Mazzega, P.

    2012-08-01

    Causal relationships existing between observed levels of groundwater in a semi-arid sub-basin of the Kabini River basin (Karnataka state, India) are investigated in this study. A Vector Auto Regressive model is used for this purpose. Its structure is built on an upstream/downstream interaction network based on observed hydro-physical properties. Exogenous climatic forcing is used as an input based on cumulated rainfall departure. Optimal models are obtained thanks to a trial approach and are used as a proxy of the dynamics to derive causal networks. It appears to be an interesting tool for analysing the causal relationships existing inside the basin. The causal network reveals 3 main regions: the Northeastern part of the Gundal basin is closely coupled to the outlet dynamics. The Northwestern part is mainly controlled by the climatic forcing and only marginally linked to the outlet dynamic. Finally, the upper part of the basin plays as a forcing rather than a coupling with the lower part of the basin allowing for a separate analysis of this local behaviour. The analysis also reveals differential time scales at work inside the basin when comparing upstream oriented with downstream oriented causalities. In the upper part of the basin, time delays are close to 2 months in the upward direction and lower than 1 month in the downward direction. These time scales are likely to be good indicators of the hydraulic response time of the basin which is a parameter usually difficult to estimate practically. This suggests that, at the sub-basin scale, intra-annual time scales would be more relevant scales for analysing or modelling tropical basin dynamics in hard rock (granitic and gneissic) aquifers ubiquitous in south India.

  14. The Integration Order of Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2...

  15. An Extension of Cointegration to Fractional Autoregressive Processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010b). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...... processes. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b=0; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b. We analyse the Gaussian likelihood function to derive estimators and test statistics. The asymptotic properties are derived...

  16. An extension of cointegration to fractional autoregressive processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    This paper contains an overview of some recent results on the statistical analysis of cofractional processes, see Johansen and Nielsen (2010). We first give an brief summary of the analysis of cointegration in the vector autoregressive model and then show how this can be extended to fractional...... processes. The model allows the process X(t) to be fractional of order d and cofractional of order d-b>0; that is, there exist vectors beta for which beta'X(t) is fractional of order d-b. We analyse the Gaussian likelihood function to derive estimators and test statistics. The asymptotic properties...

  17. HEDR modeling approach

    International Nuclear Information System (INIS)

    This report details the conceptual approaches to be used in calculating radiation doses to individuals throughout the various periods of operations at the Hanford Site. The report considers the major environmental transport pathways--atmospheric, surface water, and ground water--and projects and appropriate modeling technique for each. The modeling sequence chosen for each pathway depends on the available data on doses, the degree of confidence justified by such existing data, and the level of sophistication deemed appropriate for the particular pathway and time period being considered

  18. A Note on the Properties of Generalised Separable Spatial Autoregressive Process

    Directory of Open Access Journals (Sweden)

    Mahendran Shitan

    2009-01-01

    Full Text Available Spatial modelling has its applications in many fields like geology, agriculture, meteorology, geography, and so forth. In time series a class of models known as Generalised Autoregressive (GAR has been introduced by Peiris (2003 that includes an index parameter δ. It has been shown that the inclusion of this additional parameter aids in modelling and forecasting many real data sets. This paper studies the properties of a new class of spatial autoregressive process of order 1 with an index. We will call this a Generalised Separable Spatial Autoregressive (GENSSAR Model. The spectral density function (SDF, the autocovariance function (ACVF, and the autocorrelation function (ACF are derived. The theoretical ACF and SDF plots are presented as three-dimensional figures.

  19. A multivariate approach to modeling univariate seasonal time series

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans)

    1994-01-01

    textabstractA seasonal time series can be represented by a vector autoregressive model for the annual series containing the seasonal observations. This model allows for periodically varying coefficients. When the vector elements are integrated, the maximum likelihood cointegration method can be used

  20. AN EXPONENTIAL INEQUALITY FOR AUTOREGRESSIVE PROCESSES IN ADAPTIVE TRACKING

    Institute of Scientific and Technical Information of China (English)

    Bernard BERCU

    2007-01-01

    A wide range of literature concerning classical asymptotic properties for linear models with adaptive control is available, such as strong laws of large numbers or central limit theorems.Unfortunately, in contrast with the situation without control, it appears to be impossible to find sharp asymptotic or nonasymptotic properties such as large deviation principles or exponential inequalities.Our purpose is to provide a first step towards that direction by proving a very simple exponential inequality for the standard least squares estimator of the unknown parameter of Gaussian autoregressive process in adaptive tracking.

  1. Improved gene prediction by principal component analysis based autoregressive Yule-Walker method.

    Science.gov (United States)

    Roy, Manidipa; Barman, Soma

    2016-01-10

    Spectral analysis using Fourier techniques is popular with gene prediction because of its simplicity. Model-based autoregressive (AR) spectral estimation gives better resolution even for small DNA segments but selection of appropriate model order is a critical issue. In this article a technique has been proposed where Yule-Walker autoregressive (YW-AR) process is combined with principal component analysis (PCA) for reduction in dimensionality. The spectral peaks of DNA signal are used to detect protein-coding regions based on the 1/3 frequency component. Here optimal model order selection is no more critical as noise is removed by PCA prior to power spectral density (PSD) estimation. Eigenvalue-ratio is used to find the threshold between signal and noise subspaces for data reduction. Superiority of proposed method over fast Fourier Transform (FFT) method and autoregressive method combined with wavelet packet transform (WPT) is established with the help of receiver operating characteristics (ROC) and discrimination measure (DM) respectively.

  2. Hybrid wavelet-support vector machine approach for modelling rainfall-runoff process.

    Science.gov (United States)

    Komasi, Mehdi; Sharghi, Soroush

    2016-01-01

    Because of the importance of water resources management, the need for accurate modeling of the rainfall-runoff process has rapidly grown in the past decades. Recently, the support vector machine (SVM) approach has been used by hydrologists for rainfall-runoff modeling and the other fields of hydrology. Similar to the other artificial intelligence models, such as artificial neural network (ANN) and adaptive neural fuzzy inference system, the SVM model is based on the autoregressive properties. In this paper, the wavelet analysis was linked to the SVM model concept for modeling the rainfall-runoff process of Aghchai and Eel River watersheds. In this way, the main time series of two variables, rainfall and runoff, were decomposed to multiple frequent time series by wavelet theory; then, these time series were imposed as input data on the SVM model in order to predict the runoff discharge one day ahead. The obtained results show that the wavelet SVM model can predict both short- and long-term runoff discharges by considering the seasonality effects. Also, the proposed hybrid model is relatively more appropriate than classical autoregressive ones such as ANN and SVM because it uses the multi-scale time series of rainfall and runoff data in the modeling process.

  3. Order 1 autoregressive process of finite length

    CERN Document Server

    Vamos, Calin; Craciun, Maria

    2007-01-01

    The stochastic processes of finite length defined by recurrence relations request additional relations specifying the first terms of the process analogously to the initial conditions for the differential equations. As a general rule, in time series theory one analyzes only stochastic processes of infinite length which need no such initial conditions and their properties are less difficult to be determined. In this paper we compare the properties of the order 1 autoregressive processes of finite and infinite length and we prove that the time series length has an important influence mainly if the serial correlation is significant. These different properties can manifest themselves as transient effects produced when a time series is numerically generated. We show that for an order 1 autoregressive process the transient behavior can be avoided if the first term is a Gaussian random variable with standard deviation equal to that of the theoretical infinite process and not to that of the white noise innovation.

  4. Modelling approaches for angiogenesis.

    Science.gov (United States)

    Taraboletti, G; Giavazzi, R

    2004-04-01

    The development of a functional vasculature within a tumour is a requisite for its growth and progression. This fact has led to the design of therapies directed toward the tumour vasculature, aiming either to prevent the formation of new vessels (anti-angiogenic) or to damage existing vessels (vascular targeting). The development of agents with different mechanisms of action requires powerful preclinical models for the analysis and optimization of these therapies. This review concerns 'classical' assays of angiogenesis in vitro and in vivo, recent approaches to target identification (analysis of gene and protein expression), and the study of morphological and functional changes in the vasculature in vivo (imaging techniques). It mainly describes assays designed for anti-angiogenic compounds, indicating, where possible, their application to the study of vascular-targeting agents. PMID:15120043

  5. Autoregressive modeling with exogenous input of middle-latency auditory-evoked potentials to measure rapid changes in depth of anesthesia

    DEFF Research Database (Denmark)

    Jensen, E W; Lindholm, P; Henneberg, S W

    1996-01-01

    exogeneous input (ARX) model, to produce a sweep-by-sweep estimate of the AEP. The method was clinically evaluated in 10 patients anesthetized with alfentanil and propofol. The time interval between propofol induction and the time when the Na-Pa amplitude was decreased to 25% of the initial amplitude was...

  6. The spatial distribution of flocking foragers: disentangling the effects of food availability, interference and conspecific attraction by means of spatial autoregressive modeling

    NARCIS (Netherlands)

    Folmer, E.O.; Olff, H.; Piersma, T.

    2012-01-01

    Patch choice of foraging animals is typically assumed to depend positively on food availability and negatively on interference while benefits of the co-occurrence of conspecifics tend to be ignored. In this paper we integrate a classical functional response model based on resource availability and i

  7. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

    DEFF Research Database (Denmark)

    Holt, Matthew T.; Teräsvirta, Timo

    This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of Gonzalez and Terasvirta (2008). Univariate models are first fitted to each series by using the so called Quick...

  8. The Employment of spatial autoregressive models in predicting demand for natural gas; O Emprego de modelos auto-regressivos espaciais na previsao de demanda para gas natural

    Energy Technology Data Exchange (ETDEWEB)

    Castro, Jorge Henrique de [Petroleo Brasileiro S.A. (PETROBRAS), Rio de Janeiro, RJ (Brazil); Silva, Alexandre Pinto Alves da [Coordenacao dos Programas de Pos-Graduacao de Engenharia (COPPE/UFRJ), RJ (Brazil). Programa de Engenharia Eletrica

    2010-07-01

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  9. Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks

    OpenAIRE

    Dueker, Michael J.; Apostolos Serletis

    2000-01-01

    In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.

  10. A Fault Diagnosis Approach for Gears Based on IMF AR Model and SVM

    Directory of Open Access Journals (Sweden)

    Yu Yang

    2008-05-01

    Full Text Available An accurate autoregressive (AR model can reflect the characteristics of a dynamic system based on which the fault feature of gear vibration signal can be extracted without constructing mathematical model and studying the fault mechanism of gear vibration system, which are experienced by the time-frequency analysis methods. However, AR model can only be applied to stationary signals, while the gear fault vibration signals usually present nonstationary characteristics. Therefore, empirical mode decomposition (EMD, which can decompose the vibration signal into a finite number of intrinsic mode functions (IMFs, is introduced into feature extraction of gear vibration signals as a preprocessor before AR models are generated. On the other hand, by targeting the difficulties of obtaining sufficient fault samples in practice, support vector machine (SVM is introduced into gear fault pattern recognition. In the proposed method in this paper, firstly, vibration signals are decomposed into a finite number of intrinsic mode functions, then the AR model of each IMF component is established; finally, the corresponding autoregressive parameters and the variance of remnant are regarded as the fault characteristic vectors and used as input parameters of SVM classifier to classify the working condition of gears. The experimental analysis results show that the proposed approach, in which IMF AR model and SVM are combined, can identify working condition of gears with a success rate of 100% even in the case of smaller number of samples.

  11. Testing for rational bubbles in a co-explosive vector autoregression

    DEFF Research Database (Denmark)

    Engsted, Tom; Nielsen, Bent

    We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable...

  12. Finite-Sample Bias Propagation in Autoregressive Estimation With the Yule–Walker Method

    NARCIS (Netherlands)

    Broersen, P.M.T.

    2009-01-01

    The Yule-Walker (YW) method for autoregressive (AR) estimation uses lagged-product (LP) autocorrelation estimates to compute an AR parametric spectral model. The LP estimates only have a small triangular bias in the estimated autocorrelation function and are asymptotically unbiased. However, using t

  13. Multivariate autoregressive algorithms for ocean wave modelling

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; Lyons, G.J.; Witz, J.A.

    stream_size 8 stream_content_type text/plain stream_name 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt stream_source_info 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt Content-Encoding ISO-8859-1 Content-Type text...

  14. Cardiac arrhythmia classification based on mutiple lead electrocardiogram signals and multivariate autoregressive modeling method%基于多导联心电信号和多变量回归模型的心律失常的分类

    Institute of Scientific and Technical Information of China (English)

    葛丁飞; 李时辉; Krishnan S. M.

    2004-01-01

    心电信号(ECG)智能分析非常有利于严重心脏病人的自动诊断.本文介绍了多变量回归模型(MAR)建模法,利用MAR模型从双导联ECG中提取特征对ECG信号进行分类.在分类时,利用MAR模型系数及其K-L变换(K-L MAR系数)作为信号特征,并采用了树状决策过程和二次判别函数(QDF)分类器.利用文中方法对MIT-BIH标准数据库中的正常窦性心律(NSR)、期收缩(APC)、心室早期收缩(PVC)、心室性心动过速(VT)和心室纤维性颤动(VF)各300个样本信号进行了建模和测试. 结果表明,为了达到分类目的,MAR模型阶数取4是足够的,基于MAR系数的分类取得了比基于K-L MAR系数的分类稍好的结果.基于MAR系数的分类获得了97.3%~98.6%的分类精度.%Artificial-intelligence analysis of electrocardiogram (ECG) signals is great benefit to the automatic diagnosis in critical ill patients. Multivariate autoregressive modeling (MAR) for the purpose of classification of cardiac arrhythmias has been introduced. The MAR coefficients and K-L transformation of MAR coefficients extracted from two-lead ECG signals have been utilized for representing the ECG signals. The ECG data obtained from MIT-BIH database included normal sinus rhythm, atria premature contraction, premature ventricular contraction, ventricular tachycardia, and ventricular fibrillation. The current classification was performed using a stage-by-stage quadratic discriminant function (QDF). The results showed a MAR order of 4 was sufficient for the purpose of classification, and MAR coefficients produced slightly better results than K-L transformation of MAR coefficients. The classification accuracy of 97.3% to 98.6% based on MAR coefficients is obtained in the research.

  15. A General Representation Theorem for Integrated Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...... for I(d) vector autoregressive processes...

  16. An algebraic method for constructing stable and consistent autoregressive filters

    Energy Technology Data Exchange (ETDEWEB)

    Harlim, John, E-mail: jharlim@psu.edu [Department of Mathematics, the Pennsylvania State University, University Park, PA 16802 (United States); Department of Meteorology, the Pennsylvania State University, University Park, PA 16802 (United States); Hong, Hoon, E-mail: hong@ncsu.edu [Department of Mathematics, North Carolina State University, Raleigh, NC 27695 (United States); Robbins, Jacob L., E-mail: jlrobbi3@ncsu.edu [Department of Mathematics, North Carolina State University, Raleigh, NC 27695 (United States)

    2015-02-15

    In this paper, we introduce an algebraic method to construct stable and consistent univariate autoregressive (AR) models of low order for filtering and predicting nonlinear turbulent signals with memory depth. By stable, we refer to the classical stability condition for the AR model. By consistent, we refer to the classical consistency constraints of Adams–Bashforth methods of order-two. One attractive feature of this algebraic method is that the model parameters can be obtained without directly knowing any training data set as opposed to many standard, regression-based parameterization methods. It takes only long-time average statistics as inputs. The proposed method provides a discretization time step interval which guarantees the existence of stable and consistent AR model and simultaneously produces the parameters for the AR models. In our numerical examples with two chaotic time series with different characteristics of decaying time scales, we find that the proposed AR models produce significantly more accurate short-term predictive skill and comparable filtering skill relative to the linear regression-based AR models. These encouraging results are robust across wide ranges of discretization times, observation times, and observation noise variances. Finally, we also find that the proposed model produces an improved short-time prediction relative to the linear regression-based AR-models in forecasting a data set that characterizes the variability of the Madden–Julian Oscillation, a dominant tropical atmospheric wave pattern.

  17. A MODEL FOR THE PALM OIL MARKET IN NIGERIA: AN ECONOMETRICS APPROACH

    Directory of Open Access Journals (Sweden)

    Henry Egwuma

    2016-04-01

    Full Text Available The aim of this study is to formulate and estimate a model for the palm oil market in Nigeria with a view to identifying principal factors that shape the Nigerian palm oil industry. Four structural equation models comprising palm oil production, import demand, domestic demand and producer price have been estimated using the autoregressive distributed lag (ARDL cointegration approach over the 1970 to 2011 period. The results reveal that significant factors that influence the Nigerian palm oil industry include the own price, technological improvements, and income level. Government expenditure on agricultural development is also an important determinant, which underscores the need for government support in agriculture. Our model provides a useful framework for analyzing the effects of changes in major exogenous variables such as income or import tariff on the production, demand, and price of palm oil.

  18. Adaptive Time-Frequency Distribution Based on Time-Varying Autoregressive and Its Application to Machine Fault Diagnosis

    Institute of Scientific and Technical Information of China (English)

    2007-01-01

    The time-varying autoregressive (TVAR) modeling of a non-stationary signal is studied. In the proposed method, time-varying parametric identification of a non-stationary signal can be translated into a linear time-invariant problem by introducing a set of basic functions. Then, the parameters are estimated by using a recursive least square algorithm with a forgetting factor and an adaptive time-frequency distribution is achieved. The simulation results show that the proposed approach is superior to the short-time Fourier transform and Wigner distribution. And finally, the proposed method is applied to the fault diagnosis of a bearing, and the experiment result shows that the proposed method is effective in feature extraction.

  19. On the range of validity of the autoregressive sieve bootstrap

    OpenAIRE

    Kreiss, Jens-Peter; Paparoditis, Efstathios; Politis, Dimitris N.

    2012-01-01

    We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect to a white noise; in essence, this includes all stationary, purely nondeterministic processes, whose spectral density is everywhere positive....

  20. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    Directory of Open Access Journals (Sweden)

    Zhihua Wang

    2014-01-01

    Full Text Available Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step. Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set. This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort. The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations. The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.

  1. Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

    Science.gov (United States)

    Lopes, Sílvia R. C.; Prass, Taiane S.

    2014-05-01

    Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We prove that, if { is a FIEGARCH(p,d,q) process then, under mild conditions, { is an ARFIMA(q,d,0) with correlated innovations, that is, an autoregressive fractionally integrated moving average process. The convergence order for the polynomial coefficients that describes the volatility is presented and results related to the spectral representation and to the covariance structure of both processes { and { are discussed. Expressions for the kurtosis and the asymmetry measures for any stationary FIEGARCH(p,d,q) process are also derived. The h-step ahead forecast for the processes {, { and { are given with their respective mean square error of forecast. The work also presents a Monte Carlo simulation study showing how to generate, estimate and forecast based on six different FIEGARCH models. The forecasting performance of six models belonging to the class of autoregressive conditional heteroskedastic models (namely, ARCH-type models) and radial basis models is compared through an empirical application to Brazilian stock market exchange index.

  2. 基于向量自回归模型的中国食物安全预警%China’s food security and early-warning system based on vector autoregression (VAR) model

    Institute of Scientific and Technical Information of China (English)

    吕新业

    2013-01-01

      该文基于1980-2011年的人均粮食、禽蛋、肉类和水产品的产量和消费量数据,以及4类产品的价格指数数据,构建了中国食物安全预警的指标体系,运用向量自回归模型(VAR)对食物安全指标进行预测,再采用主成分法合成食物安全总指数,在此基础上对2012-2013年的食物安全状况进行预警分析。结果表明:基于1980-2011年的数据得到2012年和2013年的食物安全总指数分别为62和74。通过对2011年的预警值与实际值的比较,得到该预警模型的预测误差仅为4.2%,说明该模型系统的预测精度较高,可以用于未来中国食物安全预警研究。总体来看,2012-2013年中国食物安全状况为轻警。%Food safety pre-warning is the process including the application of the pre-warning theory and method, analysis and evaluation of relevant indicators reflecting food safety conditions, prediction of safety development and sounding the pre-warning. China’s food safety pre-warning supply derived from the study of China's grain security early warning system, which can be divided into a traditional warning model and a modern warning model. The traditional model is mainly based on the predictions of the trend of the grain production growth rate, predictions of grain supply and demand, predictions of grain staff indexes, predictions of grain fluctuation cycle, and predictions of prosperity. Based on China’s per capita production and consumption of grain, eggs, meat, aquaculture products, and the price indexes of these four types of products from 1980 to 2011, this study establishes the index for China’s food safety early-warning system. The Vector Autoregression Model (VAR) is used to predict China’s food safety indicators, and the Principal Component statistical method is used to synthesize the aggregated food safety index, and China’s food safety in 2012 and 2013 are projected. Specifically, this study

  3. Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries

    OpenAIRE

    Stefan Mittnik; Thorsten Neumann

    2001-01-01

    We analyze the dynamic relationship between public investment and output. Whereas existing empirical studies on the effects of public capital typically rely on single-equation models of the private sector, we investigate the role of public investment in an economy by examining impulse responses derived from vector autoregressions. Using data from six industrial countries, we specifically examine the following questions: does higher public investment lead to GDP increases; is there reverse cau...

  4. VECTOR AUTOREGRESSION EVIDENCE ON MONETARISM: A FOCUS ON SOME DEVELOPING ECONOMIES IN SOUTH ASIA

    OpenAIRE

    MUDABBER AHMED; U. L. G. RAO

    2006-01-01

    The objective of this paper is to test the validity of two views of monetarism in Bangladesh, India, and Pakistan. A Structural Vector Autoregressive (SVAR) model is developed and the objective is accomplished by conducting Granger causality tests and estimating variance decompositions and impulse response functions. The first view of monetarism that changes in the quantity of money cause, lead and are positively related to changes in prices at least in the medium to long time horizon is supp...

  5. No-reference image sharpness assessment in autoregressive parameter space.

    Science.gov (United States)

    Gu, Ke; Zhai, Guangtao; Lin, Weisi; Yang, Xiaokang; Zhang, Wenjun

    2015-10-01

    In this paper, we propose a new no-reference (NR)/blind sharpness metric in the autoregressive (AR) parameter space. Our model is established via the analysis of AR model parameters, first calculating the energy- and contrast-differences in the locally estimated AR coefficients in a pointwise way, and then quantifying the image sharpness with percentile pooling to predict the overall score. In addition to the luminance domain, we further consider the inevitable effect of color information on visual perception to sharpness and thereby extend the above model to the widely used YIQ color space. Validation of our technique is conducted on the subsets with blurring artifacts from four large-scale image databases (LIVE, TID2008, CSIQ, and TID2013). Experimental results confirm the superiority and efficiency of our method over existing NR algorithms, the stateof-the-art blind sharpness/blurriness estimators, and classical full-reference quality evaluators. Furthermore, the proposed metric can be also extended to stereoscopic images based on binocular rivalry, and attains remarkably high performance on LIVE3D-I and LIVE3D-II databases. PMID:26054063

  6. Model Construct Based Enterprise Model Architecture and Its Modeling Approach

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    In order to support enterprise integration, a kind of model construct based enterprise model architecture and its modeling approach are studied in this paper. First, the structural makeup and internal relationships of enterprise model architecture are discussed. Then, the concept of reusable model construct (MC) which belongs to the control view and can help to derive other views is proposed. The modeling approach based on model construct consists of three steps, reference model architecture synthesis, enterprise model customization, system design and implementation. According to MC based modeling approach a case study with the background of one-kind-product machinery manufacturing enterprises is illustrated. It is shown that proposal model construct based enterprise model architecture and modeling approach are practical and efficient.

  7. Multiple Model Approaches to Modelling and Control,

    DEFF Research Database (Denmark)

    solving. More complex plants, advances in information technology, and tightened economical and environmental constraints in recent years have lead topractising engineers being faced with modelling and control problems of increasing complexity. When confronted with such problems, there is a strongintuitive......Why Multiple Models?This book presents a variety of approaches which produce complex models or controllers by piecing together a number of simpler subsystems. Thisdivide-and-conquer strategy is a long-standing and general way of copingwith complexity in engineering systems, nature and human problem...... appeal in building systems which operate robustly over a wide range of operating conditions by decomposing them into a number of simplerlinear modelling or control problems, even for nonlinear modelling or control problems. This appeal has been a factor in the development of increasinglypopular `local...

  8. 小时风速的向量自回归模型及应用%A Vector Autoregression Model of Hourly Wind Speed and Its Applications in Hourly Wind Speed Forecasting

    Institute of Scientific and Technical Information of China (English)

    孙春顺; 王耀南; 李欣然

    2008-01-01

    短期风速预测对并网风力发电系统的运行有重要意义.该文简述了短期风速预测的价值和方法,分析了小时风速的日变化特点.在此基础上,提出将单变量小时风速时间序列向量化,以消除日周期非平稳,进而建立了向量自回归(vector autoregression,VAR)模型,并用于小时风速预测.算例表明,正常天气条件下,该模型可以预测提前72h的短期风速.该文提出的方法和模型具有一定的普适性,可用于其滗它领域的时间序列建模与预测.

  9. Statistical early-warning indicators based on Auto-Regressive Moving-Average processes

    CERN Document Server

    Faranda, Davide; Dubrulle, Bérengère

    2014-01-01

    We address the problem of defining early warning indicators of critical transition. To this purpose, we fit the relevant time series through a class of linear models, known as Auto-Regressive Moving-Average (ARMA(p,q)) models. We define two indicators representing the total order and the total persistence of the process, linked, respectively, to the shape and to the characteristic decay time of the autocorrelation function of the process. We successfully test the method to detect transitions in a Langevin model and a 2D Ising model with nearest-neighbour interaction. We then apply the method to complex systems, namely for dynamo thresholds and financial crisis detection.

  10. Unified structural equation modeling approach for the analysis of multisubject, multivariate functional MRI data.

    Science.gov (United States)

    Kim, Jieun; Zhu, Wei; Chang, Linda; Bentler, Peter M; Ernst, Thomas

    2007-02-01

    The ultimate goal of brain connectivity studies is to propose, test, modify, and compare certain directional brain pathways. Path analysis or structural equation modeling (SEM) is an ideal statistical method for such studies. In this work, we propose a two-stage unified SEM plus GLM (General Linear Model) approach for the analysis of multisubject, multivariate functional magnetic resonance imaging (fMRI) time series data with subject-level covariates. In Stage 1, we analyze the fMRI multivariate time series for each subject individually via a unified SEM model by combining longitudinal pathways represented by a multivariate autoregressive (MAR) model, and contemporaneous pathways represented by a conventional SEM. In Stage 2, the resulting subject-level path coefficients are merged with subject-level covariates such as gender, age, IQ, etc., to examine the impact of these covariates on effective connectivity via a GLM. Our approach is exemplified via the analysis of an fMRI visual attention experiment. Furthermore, the significant path network from the unified SEM analysis is compared to that from a conventional SEM analysis without incorporating the longitudinal information as well as that from a Dynamic Causal Modeling (DCM) approach.

  11. Analysis of Influential Factors of Carbon Emissions for Energy Consumption in China Based on Vector Autoregression Model%基于VAR模型的中国能源消费碳排放影响因素分析

    Institute of Scientific and Technical Information of China (English)

    李湘梅; 姚智爽

    2014-01-01

    基于向量自回归(vector autoregression,VAR)模型分析方法,从能源消费总量、人均GDP、城市化水平和能源强度四个指标出发,分阶段分析了我国1953~2011年间的能源消费碳排放情况.研究表明:能源消费总量和城市化水平是驱动碳排放的核心动力,且两者作用相反.能源消费总量对碳排放起到正向驱动作用,碳排放对其响应与能源强度类似,持久且不稳定,说明中国能源“双控”政策的效果显现仍需很长一段时间,但两者的结构冲击对碳排放贡献大,效果明显.而城市化水平对碳排放有反向驱动作用,其响应可在短期内达到平稳状态,加之其结构冲击对碳排放贡献度可达10%,使之成为未来降低我国碳排放的有力措施.与此同时,把握住人均GDP与碳排放互为Granger因的特殊关系,积极推行绿色GDP,也可有效降低碳排放.

  12. HEDR modeling approach: Revision 1

    International Nuclear Information System (INIS)

    This report is a revision of the previous Hanford Environmental Dose Reconstruction (HEDR) Project modeling approach report. This revised report describes the methods used in performing scoping studies and estimating final radiation doses to real and representative individuals who lived in the vicinity of the Hanford Site. The scoping studies and dose estimates pertain to various environmental pathways during various periods of time. The original report discussed the concepts under consideration in 1991. The methods for estimating dose have been refined as understanding of existing data, the scope of pathways, and the magnitudes of dose estimates were evaluated through scoping studies

  13. Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches

    OpenAIRE

    Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A.

    2012-01-01

    The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several bevera...

  14. Kepler AutoRegressive Planet Search: Initial Results

    Science.gov (United States)

    Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

    2015-08-01

    The statistical analysis procedures of the Kepler AutoRegressive Planet Search (KARPS) project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve, but visual inspection of the residual series shows that significant deviations from Gaussianity remain for many of them. Although the reduction in stellar signal is encouraging, it is important to note that the transit signal is also altered in the resulting residual time series. The periodogram derived from our Transit Comb Filter (TCF) is most effective for shorter period planets with quick ingress/egress times (relative to Kepler's 29-minute sample rate). We do not expect high sensitivity to periods of hundreds of days. Our findings to date on real-data tests of the KARPS methodology will be discussed including confirmation of some Kepler Team `candidate' planets, no confirmation of some `candidate' and `false positive' sytems, and suggestions of mischosen harmonics in the Kepler Team periodograms. We also present cases of new possible planetary signals.

  15. Modeling Approaches in Planetary Seismology

    Science.gov (United States)

    Weber, Renee; Knapmeyer, Martin; Panning, Mark; Schmerr, Nick

    2014-01-01

    Of the many geophysical means that can be used to probe a planet's interior, seismology remains the most direct. Given that the seismic data gathered on the Moon over 40 years ago revolutionized our understanding of the Moon and are still being used today to produce new insight into the state of the lunar interior, it is no wonder that many future missions, both real and conceptual, plan to take seismometers to other planets. To best facilitate the return of high-quality data from these instruments, as well as to further our understanding of the dynamic processes that modify a planet's interior, various modeling approaches are used to quantify parameters such as the amount and distribution of seismicity, tidal deformation, and seismic structure on and of the terrestrial planets. In addition, recent advances in wavefield modeling have permitted a renewed look at seismic energy transmission and the effects of attenuation and scattering, as well as the presence and effect of a core, on recorded seismograms. In this chapter, we will review these approaches.

  16. Representation of cointegrated autoregressive processes with application to fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2009-01-01

    We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this  paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new...

  17. Temporal aggregation in a periodically integrated autoregressive process

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); H.P. Boswijk (Peter)

    1996-01-01

    textabstractA periodically integrated autoregressive process for a time series which is observed S times per year assumes the presence of S - 1 cointegration relations between the annual series containing the seasonal observations, with the additional feature that these relations are different acros

  18. Limit theorems for bifurcating integer-valued autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure convergence of our estimators, together with the quadratic strong law and central limit theorems. All our investigation relies on asymptotic results for vector-valued martingales.

  19. Recursive Least Squares Estimator with Multiple Exponential Windows in Vector Autoregression

    Institute of Scientific and Technical Information of China (English)

    Hong-zhi An; Zhi-guo Li

    2002-01-01

    In the parameter tracking of time-varying systems, the ordinary method is weighted least squares with the rectangular window or the exponential window. In this paper we propose a new kind of sliding window called the multiple exponential window, and then use it to fit time-varying Gaussian vector autoregressive models. The asymptotic bias and covariance of the estimator of the parameter for time-invariant models are also derived. Simulation results show that the multiple exponential windows have better parameter tracking effect than rectangular windows and exponential ones.

  20. Vector autoregression evidence on monetarism: another look at the robustness debate

    OpenAIRE

    Richard M. Todd

    1990-01-01

    This paper is a case study of the use of vector autoregression (VAR) models to test economic theories. It focuses on the work of Christopher A. Sims, who in 1980 found that relationships in economic data generated by a small VAR model were inconsistent with those implied by a simple form of monetarist theory. The paper describes the work of researchers who criticized Sims' results as not robust and Sims' response to these critics. The paper reexamines all of this work by estimating hundreds o...

  1. An SEM Approach to Continuous Time Modeling of Panel Data: Relating Authoritarianism and Anomia

    Science.gov (United States)

    Voelkle, Manuel C.; Oud, Johan H. L.; Davidov, Eldad; Schmidt, Peter

    2012-01-01

    Panel studies, in which the same subjects are repeatedly observed at multiple time points, are among the most popular longitudinal designs in psychology. Meanwhile, there exists a wide range of different methods to analyze such data, with autoregressive and cross-lagged models being 2 of the most well known representatives. Unfortunately, in these…

  2. A nonlinear approach to modelling the residential electricity consumption in Ethiopia

    International Nuclear Information System (INIS)

    In this paper an attempt is made to model, analyze and forecast the residential electricity consumption in Ethiopia using the self-exciting threshold autoregressive (SETAR) model and the smooth transition regression (STR) model. For comparison purposes, the application was also extended to standard linear models. During the empirical presentation of both models, significant nonlinear effects were found and linearity was rejected. The SETAR model was found out to be relatively better than the linear autoregressive model in out-of-sample point and interval (density) forecasts. Results from our STR model showed that the residual variance of the fitted STR model was only about 65.7% of that of the linear ARX model. Thus, we can conclude that the inclusion of the nonlinear part, which basically accounts for the arrival of extreme price events, leads to improvements in the explanatory abilities of the model for electricity consumption in Ethiopia. (author)

  3. Fault Intelligent Diagnosis for Rolling Bearings Based on Time Varying Autoregressive Model and Neural Network%基于时变自回归模型与神经网络的滚动轴承故障智能诊断

    Institute of Scientific and Technical Information of China (English)

    谢三毛

    2014-01-01

    使用时变自回归建模分析方法建立滚动轴承振动信号特征提取模型,基于基函数算法求解该模型的时变参数,并采用AIC准则确定模型阶数。在利用上述参数化模型对轴承振动信号进行特征提取的基础上,构建BP神经网络,有效地实现了轴承故障的智能诊断。%The feature extraction model for vibration signal of rolling bearings is established by using time varying au-toregressive modeling method.The time varying parameters for the model is solved based on basis function arithmetic, and the model order is determined by using AIC rule.On the basis of above-mentioned parameterized model for fea-ture extraction,a BP neural network is built,and the intelligent diagnosis for fault of rolling bearings is effectively real-ized.

  4. Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper develops methods for estimating parameters for a generalization of Brownian motion with autoregressive increments called a Brownian ray with drift. We show that a superposition of Brownian rays with drift depends on three types of parameters - a drift coefficient, autoregressive coefficients, and volatility matrix elements, and we introduce methods for estimating each of these types of parameters using multidimensional times series data. We also cover parameter estimation in the contexts of two applications of Brownian rays in the financial sphere: queuing analysis and option valuation. For queuing analysis, we show how samples of queue lengths can be used to estimate the conditional expectation functions for the length of the queue and for increments in its net input and lost potential output. For option valuation, we show how the Black-Scholes-Merton formula depends on the price of the security on which the option is written through estimates not only of its volatility, but also of a coefficient ...

  5. On the range of validity of the autoregressive sieve bootstrap

    CERN Document Server

    Kreiss, Jens-Peter; Politis, Dimitris N; 10.1214/11-AOS900

    2012-01-01

    We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect to a white noise; in essence, this includes all stationary, purely nondeterministic processes, whose spectral density is everywhere positive. Our main theorem provides a simple and effective tool in assessing whether the AR-sieve bootstrap is asymptotically valid in any given situation. In effect, the large-sample distribution of the statistic in question must only depend on the first and second order moments of the process; prominent examples include the sample mean and the spectral density. As a counterexample, we show how the AR-sieve bootstrap is not always valid for the sample autocovariance even when the underlying process is linear.

  6. A Bayesian approach to model uncertainty

    International Nuclear Information System (INIS)

    A Bayesian approach to model uncertainty is taken. For the case of a finite number of alternative models, the model uncertainty is equivalent to parameter uncertainty. A derivation based on Savage's partition problem is given

  7. Asymptotic results for bifurcating random coefficient autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and the inheritance, we establish the almost sure convergence of our estimators, as well as a quadratic strong law and central limit theorems. Our study mostly relies on limit theorems for vector-valued martingales.

  8. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

    OpenAIRE

    Mark J. Jensen

    2015-01-01

    Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully parametric Bayesian estimator, robust to nonstationarity, is designed for the fractionally integrated, autoregressive, stochastic ...

  9. Model Mapping Approach Based on Ontology Semantics

    Directory of Open Access Journals (Sweden)

    Jinkui Hou

    2013-09-01

    Full Text Available The mapping relations between different models are the foundation for model transformation in model-driven software development. On the basis of ontology semantics, model mappings between different levels are classified by using structural semantics of modeling languages. The general definition process for mapping relations is explored, and the principles of structure mapping are proposed subsequently. The approach is further illustrated by the mapping relations from class model of object oriented modeling language to the C programming codes. The application research shows that the approach provides a theoretical guidance for the realization of model mapping, and thus can make an effective support to model-driven software development

  10. Time Series ARIMA Models of Undergraduate Grade Point Average.

    Science.gov (United States)

    Rogers, Bruce G.

    The Auto-Regressive Integrated Moving Average (ARIMA) Models, often referred to as Box-Jenkins models, are regression methods for analyzing sequential dependent observations with large amounts of data. The Box-Jenkins approach, a three-stage procedure consisting of identification, estimation and diagnosis, was used to select the most appropriate…

  11. Probabilistic approaches to the modelling of fluvial processes

    Science.gov (United States)

    Molnar, Peter

    2013-04-01

    Fluvial systems generally exhibit sediment dynamics that are strongly stochastic. This stochasticity comes basically from three sources: (a) the variability and randomness in sediment supply due to surface properties and topography; (b) from the multitude of pathways that sediment may take on hillslopes and in channels, and the uncertainty in travel times and sediment storage along those pathways; and (c) from the stochasticity which is inherent in mobilizing sediment, either by heavy rain, landslides, debris flows, slope erosion, channel avulsions, etc. Fully deterministic models of fluvial systems, even if they are physically realistic and very complex, are likely going to be unable to capture this stochasticity and as a result will fail to reproduce long-term sediment dynamics. In this paper I will review another approach to modelling fluvial processes, which grossly simplifies the systems itself, but allows for stochasticity in sediment supply, mobilization and transport. I will demonstrate the benefits and limitations of this probabilistic approach to fluvial processes on three examples. The first example is a probabilistic sediment cascade which we developed for the Illgraben, a debris flow basin in the Rhone catchment. In this example it will be shown how the probability distribution of landslides generating sediment input into the channel system is transposed into that of sediment yield out of the basin by debris flows. The key role of transient sediment storage in the channel system, which limits the size of potential debris flows, is highlighted together with the influence of the landslide triggering mechanisms and climate stochasticity. The second example focuses on the river reach scale in the Maggia River, a braided gravel-bed stream where the exposed sediment on gravel bars is colonised by riparian vegetation in periods without floods. A simple autoregressive model with a disturbance and colonization term is used to simulate the growth and decline in

  12. Maximum Likelihood Dynamic Factor Modeling for Arbitrary "N" and "T" Using SEM

    Science.gov (United States)

    Voelkle, Manuel C.; Oud, Johan H. L.; von Oertzen, Timo; Lindenberger, Ulman

    2012-01-01

    This article has 3 objectives that build on each other. First, we demonstrate how to obtain maximum likelihood estimates for dynamic factor models (the direct autoregressive factor score model) with arbitrary "T" and "N" by means of structural equation modeling (SEM) and compare the approach to existing methods. Second, we go beyond standard time…

  13. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    International Nuclear Information System (INIS)

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval

  14. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Energy Technology Data Exchange (ETDEWEB)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan [Department of Civil and Structural Engineering, Faculty of Engineering and Built Environment, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor (Malaysia)

    2014-09-12

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  15. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Science.gov (United States)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan

    2014-09-01

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  16. A combined modeling approach for wind power feed-in and electricity spot prices

    International Nuclear Information System (INIS)

    Wind power generation and its impacts on electricity prices has strongly increased in the EU. Therefore, appropriate mark-to-market evaluation of new investments in wind power and energy storage plants should consider the fluctuant generation of wind power and uncertain electricity prices, which are affected by wind power feed-in (WPF). To gain the input data for WPF and electricity prices, simulation models, such as econometric models, can serve as a data basis. This paper describes a combined modeling approach for the simulation of WPF series and electricity prices considering the impacts of WPF on prices based on an autoregressive approach. Thereby WPF series are firstly simulated for each hour of the year and integrated in the electricity price model to generate an hourly resolved price series for a year. The model results demonstrate that the WPF model delivers satisfying WPF series and that the extended electricity price model considering WPF leads to a significant improvement of the electricity price simulation compared to a model version without WPF effects. As the simulated series of WPF and electricity prices also contain the correlation between both series, market evaluation of wind power technologies can be accurately done based on these series. - Highlights: • Wind power feed-in can be directly simulated with stochastic processes. • Non-linear relationship between wind power feed-in and electricity prices. • Price reduction effect of wind power feed-in depends on the actual load. • Considering wind power feed-in effects improves the electricity price simulation. • Combined modeling of both parameters delivers a data basis for evaluation tools

  17. Geometrical approach to fluid models

    NARCIS (Netherlands)

    Kuvshinov, B. N.; Schep, T. J.

    1997-01-01

    Differential geometry based upon the Cartan calculus of differential forms is applied to investigate invariant properties of equations that describe the motion of continuous media. The main feature of this approach is that physical quantities are treated as geometrical objects. The geometrical notio

  18. Global energy modeling - A biophysical approach

    Energy Technology Data Exchange (ETDEWEB)

    Dale, Michael

    2010-09-15

    This paper contrasts the standard economic approach to energy modelling with energy models using a biophysical approach. Neither of these approaches includes changing energy-returns-on-investment (EROI) due to declining resource quality or the capital intensive nature of renewable energy sources. Both of these factors will become increasingly important in the future. An extension to the biophysical approach is outlined which encompasses a dynamic EROI function that explicitly incorporates technological learning. The model is used to explore several scenarios of long-term future energy supply especially concerning the global transition to renewable energy sources in the quest for a sustainable energy system.

  19. Learning Actions Models: Qualitative Approach

    DEFF Research Database (Denmark)

    Bolander, Thomas; Gierasimczuk, Nina

    2015-01-01

    identifiability (conclusively inferring the appropriate action model in finite time) and identifiability in the limit (inconclusive convergence to the right action model). We show that deterministic actions are finitely identifiable, while non-deterministic actions require more learning power......—they are identifiable in the limit.We then move on to a particular learning method, which proceeds via restriction of a space of events within a learning-specific action model. This way of learning closely resembles the well-known update method from dynamic epistemic logic. We introduce several different learning...

  20. A Unified Approach to Modeling and Programming

    DEFF Research Database (Denmark)

    Madsen, Ole Lehrmann; Møller-Pedersen, Birger

    2010-01-01

    SIMULA was a language for modeling and programming and provided a unied approach to modeling and programming in contrast to methodologies based on structured analysis and design. The current development seems to be going in the direction of separation of modeling and programming. The goal...... of this paper is to go back to the future and get inspiration from SIMULA and propose a unied approach. In addition to reintroducing the contributions of SIMULA and the Scandinavian approach to object-oriented programming, we do this by discussing a number of issues in modeling and programming and argue3 why we...

  1. Modified Testing for Structural Changes in Autoregressive Processes

    Institute of Scientific and Technical Information of China (English)

    Hao JIN; Zheng TIAN; Yun Feng YANG

    2011-01-01

    In this paper, we consider the problem of detecting for structural changes in the autoregressive processes including AR(p) process. In performing a test, we employ the conventional residual CUSUM of squares test (RCUSQ) statistic. The RCUSQ test is based on the subsampiing method introduced by Jach and Kokoszka [J. Methodology and Computing in Applied Probability 25(2004)]. It is shown that under regularity conditions, the asymptotic distribution of the test statistic is the function of a standard Brownian bridge. Simulation results as to AR(1)process and an example of real data analysis axe provided for illustration.

  2. Random Effects Cox Models: A Poisson Modelling Approach

    OpenAIRE

    Renjun Ma; Daniel Krewski; Burnett, Richard T.

    2000-01-01

    We propose a Poisson modelling approach to random effects Cox proportional hazards models. Specifically we describe methods of statistical inference for a class of random effects Cox models which accommodate a wide range of nested random effects distributions. The orthodox BLUP approach to random effects Poisson modeling techniques enables us to study this new class of models as a single class, rather than as a collection of unrelated models. The explicit expressions for the random effects gi...

  3. Very-short-term wind power probabilistic forecasts by sparse vector autoregression

    DEFF Research Database (Denmark)

    Dowell, Jethro; Pinson, Pierre

    2016-01-01

    A spatio-temporal method for producing very-shortterm parametric probabilistic wind power forecasts at a large number of locations is presented. Smart grids containing tens, or hundreds, of wind generators require skilled very-short-term forecasts to operate effectively, and spatial information...... is highly desirable. In addition, probabilistic forecasts are widely regarded as necessary for optimal power system management as they quantify the uncertainty associated with point forecasts. Here we work within a parametric framework based on the logit-normal distribution and forecast its parameters....... The location parameter for multiple wind farms is modelled as a vector-valued spatiotemporal process, and the scale parameter is tracked by modified exponential smoothing. A state-of-the-art technique for fitting sparse vector autoregressive models is employed to model the location parameter and demonstrates...

  4. ECONOMETRIC APPROACH TO DIFFERENCE EQUATIONS MODELING OF EXCHANGE RATES CHANGES

    Directory of Open Access Journals (Sweden)

    Josip Arnerić

    2010-12-01

    Full Text Available Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR and models of moving averages (MA. Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.

  5. Comparison of conventional averaged and rapid averaged, autoregressive-based extracted auditory evoked potentials for monitoring the hypnotic level during propofol induction

    DEFF Research Database (Denmark)

    Litvan, Héctor; Jensen, Erik W; Galan, Josefina;

    2002-01-01

    The extraction of the middle latency auditory evoked potentials (MLAEP) is usually done by moving time averaging (MTA) over many sweeps (often 250-1,000), which could produce a delay of more than 1 min. This problem was addressed by applying an autoregressive model with exogenous input (ARX) that...

  6. Matrix model approach to cosmology

    Science.gov (United States)

    Chaney, A.; Lu, Lei; Stern, A.

    2016-03-01

    We perform a systematic search for rotationally invariant cosmological solutions to toy matrix models. These models correspond to the bosonic sector of Lorentzian Ishibashi, Kawai, Kitazawa and Tsuchiya (IKKT)-type matrix models in dimensions d less than ten, specifically d =3 and d =5 . After taking a continuum (or commutative) limit they yield d -1 dimensional Poisson manifolds. The manifolds have a Lorentzian induced metric which can be associated with closed, open, or static space-times. For d =3 , we obtain recursion relations from which it is possible to generate rotationally invariant matrix solutions which yield open universes in the continuum limit. Specific examples of matrix solutions have also been found which are associated with closed and static two-dimensional space-times in the continuum limit. The solutions provide for a resolution of cosmological singularities, at least within the context of the toy matrix models. The commutative limit reveals other desirable features, such as a solution describing a smooth transition from an initial inflation to a noninflationary era. Many of the d =3 solutions have analogues in higher dimensions. The case of d =5 , in particular, has the potential for yielding realistic four-dimensional cosmologies in the continuum limit. We find four-dimensional de Sitter d S4 or anti-de Sitter AdS4 solutions when a totally antisymmetric term is included in the matrix action. A nontrivial Poisson structure is attached to these manifolds which represents the lowest order effect of noncommutativity. For the case of AdS4 , we find one particular limit where the lowest order noncommutativity vanishes at the boundary, but not in the interior.

  7. Identification of Civil Engineering Structures using Multivariate ARMAV and RARMAV Models

    DEFF Research Database (Denmark)

    Kirkegaard, Poul Henning; Andersen, P.; Brincker, Rune

    This paper presents how to make system identification of civil engineering structures using multivariate auto-regressive moving-average vector (ARMAV) models. Further, the ARMAV technique is extended to a recursive technique (RARMAV). The ARMAV model is used to identify measured stationary data....... The results show the usefulness of the approaches for identification of civil engineering structures excited by natural excitation...

  8. 区间时间序列向量自回归模型在短期电力负荷预测中的应用%Application of Interval Time-Series Vector Autoregressive Model in Short-Term Load Forecasting

    Institute of Scientific and Technical Information of China (English)

    万昆; 柳瑞禹

    2012-01-01

    电力负荷数据通常随着时间的不同而呈现一定的波动性.针对电力负荷随着时间波动呈现出一个范围波动的特点,采用区间时间序列估计与向量自回归相结合的方法对短期电力负荷进行预测,预测结果拟合良好,提高了电网公司对电力负荷的预测精确度,为电网公司制定负荷预报曲线提供精准数据信息,为电网公司编制电力负荷计划提供理论支持和有效的方法.%In general, power load fluctuates along with time. In allusion to the feature that the fluctuation of power load with time is within a range, a method integrating interval time series estimation with vector autoregression is adopted to forecast short-term power load. The power load data of New South Wales in Australia from 2001 to 2010 is used for the modeling of the proposed method. The fitting of the forecasted results is satisfied and it shows that using the proposed method the load forecasting accuracy can be improved. The proposed method can provide accurate data information for the drafting of load forecasting curve and is available for the scheduling of power load planning by grid cooperations.

  9. 基于 TVAR 模型的人民币汇率的价格传递效应∗%A Study on the Price Pass-through Effect of RMB Exchange Rate:A Positive Analysis Based Threshold Vector Autoregression Model

    Institute of Scientific and Technical Information of China (English)

    傅强; 孙菲

    2015-01-01

    By means of threshold vector auto-regression model,RMB nominal exchange rate pass-through was studied, and also the exchange rate pass-through under different inflation was analyzed.Inflation rate was treated as the threshold varia-ble,and two monthly rates of 0.1 1 75% and 0.61 18% acted as thresholds.The exchange rate pass-through to domestic prices was statistically significant above the threshold level of the inflation rate 0.61 1 8% and statistically insignificant below it.Con-sidering nonlinearities in the exchange rate pass-through to domestic prices,and thus the correlation between inflation and ex-change rate pass-through was verified more accurately.%利用门限向量自回归模型对人民币有效汇率的价格传递效应进行了研究,分析了不同的通货膨胀环境对人民币汇率传递效应的影响.以通货膨胀率作为门限值变量,并以0.001175和0.006118为门限值进行实证分析.得到汇率传递效应在不同的通货膨胀环境下显著性存在差异,在高通货膨胀下汇率对国内价格的传递效应是显著的,然而在低通货膨胀下是不显著的.考虑了汇率传递对国内价格的非线性性,进而更加准确的验证了通货膨胀与汇率传递的相关性.

  10. Chemogenetic approach to model hypofrontality.

    Science.gov (United States)

    Peña, Ike Dela; Shi, Wei-Xing

    2016-08-01

    Clinical evidence suggests that the prefrontal cortex (PFC) is hypofunctional in disorders including schizophrenia, drug addiction, and attention-deficit/hyperactivity disorder (ADHD). In schizophrenia, hypofrontality has been further suggested to cause both the negative and cognitive symptoms, and overactivity of dopamine neurons that project to subcortical areas. The latter may contribute to the development of positive symptoms of the disorder. Nevertheless, what causes hypofrontality and how it alters dopamine transmission in subcortical structures remain unclear due, in part, to the difficulty in modeling hypofrontality using previous techniques (e.g. PFC lesioning, focal cooling, repeated treatment with psychotomimetic drugs). We propose that the use of designer receptors exclusively activated by designer drugs (DREADDs) chemogenetic technique will allow precise interrogations of PFC functions. Combined with electrophysiological recordings, we can investigate the effects of PFC hypofunction on activity of dopamine neurons. Importantly, from a drug target discovery perspective, the use of DREADDs will enable us to examine whether chemogenetically enhancing PFC activity will reverse the behavioral abnormalities associated with PFC hypofunction and dopamine neuron overactivity, and also explore druggable targets for the treatment of schizophrenia and other disorders associated with abnormalities via modulation of the G-protein coupled receptor signaling pathway. In conclusion, the use of the DREADDs technique has several advantages over other previously employed strategies to simulate PFC hypofunction not only in terms of disease modeling but also from the viewpoint of drug target discovery. PMID:27372868

  11. Current approaches to gene regulatory network modelling

    Directory of Open Access Journals (Sweden)

    Brazma Alvis

    2007-09-01

    Full Text Available Abstract Many different approaches have been developed to model and simulate gene regulatory networks. We proposed the following categories for gene regulatory network models: network parts lists, network topology models, network control logic models, and dynamic models. Here we will describe some examples for each of these categories. We will study the topology of gene regulatory networks in yeast in more detail, comparing a direct network derived from transcription factor binding data and an indirect network derived from genome-wide expression data in mutants. Regarding the network dynamics we briefly describe discrete and continuous approaches to network modelling, then describe a hybrid model called Finite State Linear Model and demonstrate that some simple network dynamics can be simulated in this model.

  12. A DEOXYRIBONUCLEIC ACID COMPRESSION ALGORITHM USING AUTO-REGRESSION AND SWARM INTELLIGENCE

    Directory of Open Access Journals (Sweden)

    Walid Aly

    2013-01-01

    Full Text Available DNA compression challenge has become a major task for many researchers as a result of exponential increase of produced DNA sequences in gene databases; in this research we attempt to solve the DNA compression challenge by developing a lossless compression algorithm. The proposed algorithm works in horizontal mode using a substitutional-statistical technique which is based on Auto Regression modeling (AR, the model parameters are determined using Particle Swarm Optimization (PSO. This algorithm is called Swarm Auto-Regression DNA Compression (SARDNAComp. SARDNAComp aims to reach higher compression ratio which make its application beneficial for both practical and functional aspects due to reduction of storage, retrieval, transmission costs and inferring structure and function of sequences from compression, SARDNAComp is tested on eleven benchmark DNA sequences and compared to current algorithms of DNA compression, the results showed that (SARDNAComp outperform these algorithms.

  13. Packet loss replacement in voip using a recursive low-order autoregressive modelbased speech

    International Nuclear Information System (INIS)

    In real-time packet-based communication systems one major problem is misrouted or delayed packets which results in degraded perceived voice quality. When some speech packets are not available on time, the packet is known as lost packet in real-time communication systems. The easiest task of a network terminal receiver is to replace silence for the duration of lost speech segments. In a high quality communication system in order to avoid quality reduction due to packet loss a suitable method and/or algorithm is needed to replace the missing segments of speech. In this paper, we introduce a recursive low order autoregressive (AR) model for replacement of lost speech segment. The evaluation results show that this method has a lower mean square error (MSE) and low complexity compared to the other efficient methods like high-order AR model without any substantial degradation in perceived voice quality.

  14. Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals

    Directory of Open Access Journals (Sweden)

    Kanichukattu K. Jose

    2013-05-01

    Full Text Available In this paper we consider a generalization of discrete Mittag-Leffler distributions. We introduce and study the properties of a new distribution called geometric generalized discrete Mittag-Leffler distribution. Autoregressive processes with geometric generalized discrete Mittag-Leffler distributions are developed and studied. The distributions are further extended to develop a more general class of geometric generalized discrete semi-Mittag-Leffler distributions. The processes are extended to higher orders also. An application with respect to an empirical data on customer arrivals in a bank counter is also given. Various areas of potential applications like human resource development, insect growth, epidemic modeling, industrial risk modeling, insurance and actuaries, town planning etc are also discussed.

  15. Sparse time series chain graphical models for reconstructing genetic networks

    NARCIS (Netherlands)

    Abegaz, Fentaw; Wit, Ernst

    2013-01-01

    We propose a sparse high-dimensional time series chain graphical model for reconstructing genetic networks from gene expression data parametrized by a precision matrix and autoregressive coefficient matrix. We consider the time steps as blocks or chains. The proposed approach explores patterns of co

  16. Challenges in structural approaches to cell modeling.

    Science.gov (United States)

    Im, Wonpil; Liang, Jie; Olson, Arthur; Zhou, Huan-Xiang; Vajda, Sandor; Vakser, Ilya A

    2016-07-31

    Computational modeling is essential for structural characterization of biomolecular mechanisms across the broad spectrum of scales. Adequate understanding of biomolecular mechanisms inherently involves our ability to model them. Structural modeling of individual biomolecules and their interactions has been rapidly progressing. However, in terms of the broader picture, the focus is shifting toward larger systems, up to the level of a cell. Such modeling involves a more dynamic and realistic representation of the interactomes in vivo, in a crowded cellular environment, as well as membranes and membrane proteins, and other cellular components. Structural modeling of a cell complements computational approaches to cellular mechanisms based on differential equations, graph models, and other techniques to model biological networks, imaging data, etc. Structural modeling along with other computational and experimental approaches will provide a fundamental understanding of life at the molecular level and lead to important applications to biology and medicine. A cross section of diverse approaches presented in this review illustrates the developing shift from the structural modeling of individual molecules to that of cell biology. Studies in several related areas are covered: biological networks; automated construction of three-dimensional cell models using experimental data; modeling of protein complexes; prediction of non-specific and transient protein interactions; thermodynamic and kinetic effects of crowding; cellular membrane modeling; and modeling of chromosomes. The review presents an expert opinion on the current state-of-the-art in these various aspects of structural modeling in cellular biology, and the prospects of future developments in this emerging field.

  17. Conceptual approach to modeling karst development

    OpenAIRE

    Mihael Brenčič

    1995-01-01

    Karst is probably one of the most complicated hydrogeological systems at all.Its structure is complex and it changes in time. In the article conceptual approaches are described which could help establishing numerical simulation models for karst development. These approaches repose on the systems theory and the concept of the pure karst.

  18. Distributed simulation a model driven engineering approach

    CERN Document Server

    Topçu, Okan; Oğuztüzün, Halit; Yilmaz, Levent

    2016-01-01

    Backed by substantive case studies, the novel approach to software engineering for distributed simulation outlined in this text demonstrates the potent synergies between model-driven techniques, simulation, intelligent agents, and computer systems development.

  19. Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks

    OpenAIRE

    Sugita, Katsuhiro

    2006-01-01

    This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model selection by the posterior odds. For a cointegrated model, cointegrating rank is also allowed to change with breaks. Bayesian approach by Strachan (Journal of Business and Economic Statistics 21 (2003) 185) ...

  20. The Forecast of Tax Indicators Based on Vector Auto-regression Model%基于向量自回归模型的税务指标预测

    Institute of Scientific and Technical Information of China (English)

    江莉; 张瑞坤

    2011-01-01

    Asset-liability ratio is an important indicator to examine the financial status of the enterprises, and its prediction is of concern to a lot of enterprises. Four asset-liability ratio of the linear impact of the main factors is selected because many factors have an effect on the asset-liability ratio. According to the asset-liability ratio data of a company for two years, VAR model for the forecast of the next month's asset-liability ratio is chose variabled and established,and achieved good results,the error rate of less than 2%.%资产负债率是检查企业财务状况的一个重要指标,它的预测是很多企业所关心的.由于影响资产负债率的因素很多,选取了4个影响资产负债率的线性主要因素.根据某公司两年的资产负债率数据,选择变量,建立向量自回归模型.对下一月份的资产负债率进行预测,取得了很好的结果,相对误差控制在1.5%以内.

  1. Network Traffic Prediction Based on Hybrid Model of Autoregressive and Neural Networking%自回归与神经网络组合的网络流量预测模型

    Institute of Scientific and Technical Information of China (English)

    陈宏; 胡宁静

    2012-01-01

    Network traffic with time-varying and nonlinear, a single prediction method is difficult to accurately describe the network flow variation, in order to improve the prediction accuracy of network traffic, put forward a kind of hybrid prediction model ( ARIMA -BPNN ). The ARIMA of network traffic prediction, and then the BPNN on network traffic prediction of nonlinear changes, and genetic algo-rithm optimization BPNN initial weights, finally, the forecasting results between BPNN input as two prediction, forecasting results by ARI-MA-BPNN. The simulation results show that, compared with ARIMA, BPNN, ARIMA-BPNN increase network traffic prediction accu-racy, in network management and has extensive application prospect.%网络流量具有时变性和非线性,单一预测方法难以准确描述网络流量变化规律,为提高网络流量预测准确率,提出一种网络流量组合预测模型(ARIMA-BPNN);首先采用ARIMA对网络流量进行预测,然后采用BPNN对网络流量非线性变化规律进行预测,且遗传算法优化BPNN初始权值,最后将两者预测结果作为BPNN输入进行二次预测,得到ARIMA- BPNN预测结果;仿真实验结果表明,相对于ARIMA、BPNN,ARIMA- BPNN提高网络流量预测精度,在网络管理中有着广泛的应用前景.

  2. Differences of EEG between Eyes-Open and Eyes-Closed States Based on Autoregressive Method

    Institute of Scientific and Technical Information of China (English)

    Ling Li; Lei Xiao; Long Chen

    2009-01-01

    Autoregressive (AR) power spectral density estimate method was used to analyze the electroencephalogram (EEG) signals in eyes-open and eyes-closed states. From the topographical distributions of delta, theta, alpha, and beta power spectrum, these two states can be clearly discriminated. In these two states, frontal areas were activated in delta power, both frontal and occipital areas were activated in theta band, and occipital areas were activated in alpha and beta bands. These four bands had significantly higher power in frontal, parietal, and occipital areas when eyes were close. The results also implied that the optimum order of AR model could be more suitable for estimating EEG power spectrum of different states.

  3. Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR Analysis

    Directory of Open Access Journals (Sweden)

    Florence Bouvet

    2013-12-01

    Full Text Available The European sovereign-debt crisis began in Greece when the government announced in December, 2009, that its debt reached 121% of GDP (or 300 billion euros and its 2009 budget deficit was 12.7% of GDP, four times the level allowed by the Maastricht Treaty. The Greek crisis soon spread to other Economic and Monetary Union (EMU countries, notably Ireland, Portugal, Spain and Italy. Using quarterly data for the 2000–2011 period, we implement a panel-vector autoregressive (PVAR model for 11 EMU countries to examine the extent to which a rise in a country’s bond-yield spread or debt-to-GDP ratio affects another EMU countries’ fiscal and macroeconomic outcomes. To distinguish between interdependence and contagion among EMU countries, we compare results obtained for the pre-crisis period (2000–2007 with the crisis period (2008–2011 and control for global risk aversion.

  4. Stochastic Modelling of Shiroro River Stream flow Process

    Directory of Open Access Journals (Sweden)

    Musa, J. J

    2013-01-01

    Full Text Available Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA. The development and use of a stochastic stream flow model involves some basic steps such as obtain stream flow record and other information, Selecting models that best describes the marginal probability distribution of flows. The flow discharge of about 22 years (1990-2011 was gotten from the Meteorological Station at Shiroro and analyzed with three different models namely; Autoregressive (AR model, Autoregressive Moving Average (ARMA model and Autoregressive Integrated Moving Average (ARIMA model. The initial model identification is done by using the autocorrelation function (ACF and partial autocorrelation function (PACF. Based on the model analysis and evaluations, proper predictions for the effective usage of the flow from the river for farming activities and generation of power for both industrial and domestic us were made. It also highlights some recommendations to be made to utilize the possible potentials of the river effectively

  5. Modeling diffuse pollution with a distributed approach.

    Science.gov (United States)

    León, L F; Soulis, E D; Kouwen, N; Farquhar, G J

    2002-01-01

    The transferability of parameters for non-point source pollution models to other watersheds, especially those in remote areas without enough data for calibration, is a major problem in diffuse pollution modeling. A water quality component was developed for WATFLOOD (a flood forecast hydrological model) to deal with sediment and nutrient transport. The model uses a distributed group response unit approach for water quantity and quality modeling. Runoff, sediment yield and soluble nutrient concentrations are calculated separately for each land cover class, weighted by area and then routed downstream. The distributed approach for the water quality model for diffuse pollution in agricultural watersheds is described in this paper. Integrating the model with data extracted using GIS technology (Geographical Information Systems) for a local watershed, the model is calibrated for the hydrologic response and validated for the water quality component. With the connection to GIS and the group response unit approach used in this paper, model portability increases substantially, which will improve non-point source modeling at the watershed scale level.

  6. MODULAR APPROACH WITH ROUGH DECISION MODELS

    Directory of Open Access Journals (Sweden)

    Ahmed T. Shawky

    2012-09-01

    Full Text Available Decision models which adopt rough set theory have been used effectively in many real world applications.However, rough decision models suffer the high computational complexity when dealing with datasets ofhuge size. In this research we propose a new rough decision model that allows making decisions based onmodularity mechanism. According to the proposed approach, large-size datasets can be divided intoarbitrary moderate-size datasets, then a group of rough decision models can be built as separate decisionmodules. The overall model decision is computed as the consensus decision of all decision modulesthrough some aggregation technique. This approach provides a flexible and a quick way for extractingdecision rules of large size information tables using rough decision models.

  7. Modular Approach with Rough Decision Models

    Directory of Open Access Journals (Sweden)

    Ahmed T. Shawky

    2012-10-01

    Full Text Available Decision models which adopt rough set theory have been used effectively in many real world applications.However, rough decision models suffer the high computational complexity when dealing with datasets ofhuge size. In this research we propose a new rough decision model that allows making decisions based onmodularity mechanism. According to the proposed approach, large-size datasets can be divided intoarbitrary moderate-size datasets, then a group of rough decision models can be built as separate decisionmodules. The overall model decision is computed as the consensus decision of all decision modulesthrough some aggregation technique. This approach provides a flexible and a quick way for extractingdecision rules of large size information tables using rough decision models.

  8. Evaluating face trustworthiness: a model based approach

    OpenAIRE

    Todorov, Alexander; Baron, Sean G.; Oosterhof, Nikolaas N.

    2008-01-01

    Judgments of trustworthiness from faces determine basic approach/avoidance responses and approximate the valence evaluation of faces that runs across multiple person judgments. Here, based on trustworthiness judgments and using a computer model for face representation, we built a model for representing face trustworthiness (study 1). Using this model, we generated novel faces with an increased range of trustworthiness and used these faces as stimuli in a functional Magnetic Resonance Imaging ...

  9. Application of Autoregressive Models for Forecasting Marine Insurance Market

    OpenAIRE

    Burcã Ana-Maria; Bãtrînca Ghiorghe

    2013-01-01

    The shipping industry represents an important component of the global economy. In the context of globalization the importance of marine insurance has increased more than even before. Without insurance, ship owners would be subjected to a wide range of risks that they would not be protected from. Marine insurance facilitates global trade, ensures economic property, provides peace of mind, improves quality of life and provides social benefits. Taking in consideration all these advantages, it be...

  10. Temporal Aggregation in First Order Cointegrated Vector Autoregressive models

    DEFF Research Database (Denmark)

    Milhøj, Anders; la Cour, Lisbeth Funding

    2011-01-01

    Many time series can be observed at different, but equally relevant sampling frequencies. This makes it important to study aggregation from e.g. daily or weekly to monthly series. Aggregation of course gives shorter time series and thereby reduced information, but spurious phenomena, in e.g. dail...

  11. Some Identification Problems in the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren

    An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on individual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of a and ß; when they are iden...

  12. Some identification problems in the cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren

    An analysis of some identification problems in the cointegrated VAR is given. We give a new criteria for identification by linear restrictions on indi- vidual relations which is equivalent to the rank condition. We compare the asymptotic distribution of the estimators of α and β; when they are id...

  13. Building Water Models, A Different Approach

    CERN Document Server

    Izadi, Saeed; Onufriev, Alexey V

    2014-01-01

    Simplified, classical models of water are an integral part of atomistic molecular simulations, especially in biology and chemistry where hydration effects are critical. Yet, despite several decades of effort, these models are still far from perfect. Presented here is an alternative approach to constructing point charge water models - currently, the most commonly used type. In contrast to the conventional approach, we do not impose any geometry constraints on the model other than symmetry. Instead, we optimize the distribution of point charges to best describe the "electrostatics" of the water molecule, which is key to many unusual properties of liquid water. The search for the optimal charge distribution is performed in 2D parameter space of key lowest multipole moments of the model, to find best fit to a small set of bulk water properties at room temperature. A virtually exhaustive search is enabled via analytical equations that relate the charge distribution to the multipole moments. The resulting "optimal"...

  14. Application of spectral decomposition using regularized non-stationary autoregression to random noise attenuation

    International Nuclear Information System (INIS)

    We propose an application of spectral decomposition using regularized non-stationary autoregression (SDRNAR) to random noise attenuation. SDRNAR is a recently proposed signal-analysis method, which aims at decomposing the seismic signal into several spectral components, each of which has a smoothly variable frequency and smoothly variable amplitude. In the proposed novel denoising approach, random noise is deemed to be the residual part of decomposed spectral components because it is unpredictable. One unique property of this novel denoising approach is that the amplitude maps for different frequency components can be obtained during the denoising process, which can be valuable for some interpretation tasks. Compared with the spectral decomposition algorithm by empirical mode decomposition (EMD), SDRNAR has higher efficiency and better decomposition performance. Compared with f − x deconvolution and mean filter, the proposed denoising approach can obtain higher signal-to-noise ratio (SNR) and preserve more useful energy. The proposed approach can only be applied to seismic profiles with relatively flat events, which becomes its main limitation. However, because it is applied trace by trace, it can preserve spatial discontinuities. We use both synthetic and field data examples to demonstrate the performance of the proposed method. (paper)

  15. Semantic Approach for Service Oriented Requirements Modeling

    OpenAIRE

    Zhao, Bin; Cai, Guang-Jun; Jin, Zhi

    2010-01-01

    International audience Services computing is an interdisciplinary subject that devotes to bridging the gap between business services and IT services. It is recognized that Requirements Engineering is fundamental in implementing the service oriented architecture. It takes traditional RE techniques great efforts to model business requirements and search for the appropriate services. In this paper, we propose an ontological approach to facilitate the service-oriented modeling framework. The g...

  16. A flexible approach to guideline modeling.

    OpenAIRE

    Tu, S. W.; Musen, M. A.

    1999-01-01

    We describe a task-oriented approach to guideline modeling that we have been developing in the EON project. We argue that guidelines seek to change behaviors by making statements involving some or all of the following tasks: (1) setting of goals or constraints, (2) making decisions among alternatives, (3) sequencing and synchronization of actions, and (4) interpreting data. Statements about these tasks make assumptions about models of time and of data abstractions, and about degree of uncerta...

  17. "Credit Risk Modeling Approaches"(in Japanese)

    OpenAIRE

    Takao Kobayashi

    2003-01-01

    This article originates from a speech given by the author in the seminar organized by the Security Analysts Association of Japan (SAAJ) on September fifth of 2003 to commemorate the founding of the Certified International Investment Analyst (CIIA) qualification. In the first half, I give a fairly comprehensive, non-quantitative summary of the recent developments of credit risk modeling approaches and techniques. In the latter half, I illustrate a new convertible-bond (CB) pricing model that w...

  18. A Multiple Model Approach to Modeling Based on LPF Algorithm

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    Input-output data fitting methods are often used for unknown-structure nonlinear system modeling. Based on model-on-demand tactics, a multiple model approach to modeling for nonlinear systems is presented. The basic idea is to find out, from vast historical system input-output data sets, some data sets matching with the current working point, then to develop a local model using Local Polynomial Fitting (LPF) algorithm. With the change of working points, multiple local models are built, which realize the exact modeling for the global system. By comparing to other methods, the simulation results show good performance for its simple, effective and reliable estimation.``

  19. Post-16 Biology--Some Model Approaches?

    Science.gov (United States)

    Lock, Roger

    1997-01-01

    Outlines alternative approaches to the teaching of difficult concepts in A-level biology which may help student learning by making abstract ideas more concrete and accessible. Examples include models, posters, and poems for illustrating meiosis, mitosis, genetic mutations, and protein synthesis. (DDR)

  20. Decomposition approach to model smart suspension struts

    Science.gov (United States)

    Song, Xubin

    2008-10-01

    Model and simulation study is the starting point for engineering design and development, especially for developing vehicle control systems. This paper presents a methodology to build models for application of smart struts for vehicle suspension control development. The modeling approach is based on decomposition of the testing data. Per the strut functions, the data is dissected according to both control and physical variables. Then the data sets are characterized to represent different aspects of the strut working behaviors. Next different mathematical equations can be built and optimized to best fit the corresponding data sets, respectively. In this way, the model optimization can be facilitated in comparison to a traditional approach to find out a global optimum set of model parameters for a complicated nonlinear model from a series of testing data. Finally, two struts are introduced as examples for this modeling study: magneto-rheological (MR) dampers and compressible fluid (CF) based struts. The model validation shows that this methodology can truly capture macro-behaviors of these struts.

  1. A stochastic approach to noise modeling for barometric altimeters.

    Science.gov (United States)

    Sabatini, Angelo Maria; Genovese, Vincenzo

    2013-11-18

    The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes), we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM) random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA) system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.

  2. Multidimensional boron transport modeling in subchannel approach

    International Nuclear Information System (INIS)

    The main objective of this study is to implement a solute tracking model into the subchannel code CTF for simulations of boric acid transients. Previously, three different boron tracking models have been implemented into CTF and based on the applied analytical and nodal sensitivity studies the Modified Godunov Scheme approach with a physical diffusion term has been selected as the most accurate and best estimate solution. This paper will present the implementation of a multidimensional boron transport modeling with Modified Godunov Scheme within a thermal-hydraulic code based on a subchannel approach. Based on the cross flow mechanism in a multiple-subchannel rod bundle geometry, heat transfer and lateral pressure drop effects will be discussed in deboration and boration case studies. (author)

  3. Heat transfer modeling an inductive approach

    CERN Document Server

    Sidebotham, George

    2015-01-01

    This innovative text emphasizes a "less-is-more" approach to modeling complicated systems such as heat transfer by treating them first as "1-node lumped models" that yield simple closed-form solutions. The author develops numerical techniques for students to obtain more detail, but also trains them to use the techniques only when simpler approaches fail. Covering all essential methods offered in traditional texts, but with a different order, Professor Sidebotham stresses inductive thinking and problem solving as well as a constructive understanding of modern, computer-based practice. Readers learn to develop their own code in the context of the material, rather than just how to use packaged software, offering a deeper, intrinsic grasp behind models of heat transfer. Developed from over twenty-five years of lecture notes to teach students of mechanical and chemical engineering at The Cooper Union for the Advancement of Science and Art, the book is ideal for students and practitioners across engineering discipl...

  4. A hybrid modeling approach for option pricing

    Science.gov (United States)

    Hajizadeh, Ehsan; Seifi, Abbas

    2011-11-01

    The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.

  5. 季节性差分自回归滑动平均模型在上海市道路交通伤害预测中的应用%Application of Seasonal Autoregressive Integrated Moving Average Model to Road Traffic Injury Prediction in Shanghai

    Institute of Scientific and Technical Information of China (English)

    喻彦; 侯心一; 苏慧佳; 任宏

    2012-01-01

    [ Objective ] To explore the feasibility of seasonal autoregressive integrated moving average (SARIMA) model in predicting road traffic injury, and to provide reference for road traffic injury trends in Shanghai. [ Methods ] A SARIMA model was presented to fit the seasonal road traffic mortality data of Shanghai (2000-2009) via EVIEWS software, and estimated mortalities of 2010 were verified with the actual data. [ Results ] The seasonal component was statistically significant in Shanghai's road traffic mortality data. A decreasing trend was observed in the trend component of the model. SARIMA (2, 1, 0) (0, 1, 1)4 was the best fitting model among various candidate models. The predicted seasonal mortalities of 2010 were 1.49/105, 1.74/105, 1.93/105, and 2.06/105 respectively. The actual values were all in the prediction intervals, and the residuals were considered as white noise serial. The verification with actual data passed our test. [ Conclusion ] A SARIMA model can be used in accurate trends prediction of road traffic injury and therefore can provide evidences for road traffic injury intervention.%[目的]探讨季节性差分自回归滑动平均( SARIMA)模型预测道路交通伤害的可行性,为掌握上海市交通伤害趋势提供依据.[方法]利用EVIEWS软件对2000-2009年上海市道路交通伤害死亡的季度数据进行SARIMA模型拟合,并利用2010年数据对预测数据进行验证.[结果]上海市道路交通死亡具有明显的季节要素,趋势要素呈逐步下降趋势;对原始图形识别后,综合考察几种模型拟合优劣,最终采用SARIMA(2,1,0)(0,1,1)4,其能很好地拟合上海市道路交通伤害死亡情况.2010年4个季度死亡率预测值分别为1.49/105、1.74/105、1.93/105和2.06/105,实际值均在预测区间内,残差也显示为白噪声序列.预测结果较好.[结论]SARIMA模型是一种能较好地预测道路交通伤害趋势的工具,可为预防与控制道路交通伤害提供决策依据.

  6. A subgrid based approach for morphodynamic modelling

    Science.gov (United States)

    Volp, N. D.; van Prooijen, B. C.; Pietrzak, J. D.; Stelling, G. S.

    2016-07-01

    To improve the accuracy and the efficiency of morphodynamic simulations, we present a subgrid based approach for a morphodynamic model. This approach is well suited for areas characterized by sub-critical flow, like in estuaries, coastal areas and in low land rivers. This new method uses a different grid resolution to compute the hydrodynamics and the morphodynamics. The hydrodynamic computations are carried out with a subgrid based, two-dimensional, depth-averaged model. This model uses a coarse computational grid in combination with a subgrid. The subgrid contains high resolution bathymetry and roughness information to compute volumes, friction and advection. The morphodynamic computations are carried out entirely on a high resolution grid, the bed grid. It is key to find a link between the information defined on the different grids in order to guaranty the feedback between the hydrodynamics and the morphodynamics. This link is made by using a new physics-based interpolation method. The method interpolates water levels and velocities from the coarse grid to the high resolution bed grid. The morphodynamic solution improves significantly when using the subgrid based method compared to a full coarse grid approach. The Exner equation is discretised with an upwind method based on the direction of the bed celerity. This ensures a stable solution for the Exner equation. By means of three examples, it is shown that the subgrid based approach offers a significant improvement at a minimal computational cost.

  7. A Bayesian Shrinkage Approach for AMMI Models.

    Science.gov (United States)

    da Silva, Carlos Pereira; de Oliveira, Luciano Antonio; Nuvunga, Joel Jorge; Pamplona, Andrezza Kéllen Alves; Balestre, Marcio

    2015-01-01

    Linear-bilinear models, especially the additive main effects and multiplicative interaction (AMMI) model, are widely applicable to genotype-by-environment interaction (GEI) studies in plant breeding programs. These models allow a parsimonious modeling of GE interactions, retaining a small number of principal components in the analysis. However, one aspect of the AMMI model that is still debated is the selection criteria for determining the number of multiplicative terms required to describe the GE interaction pattern. Shrinkage estimators have been proposed as selection criteria for the GE interaction components. In this study, a Bayesian approach was combined with the AMMI model with shrinkage estimators for the principal components. A total of 55 maize genotypes were evaluated in nine different environments using a complete blocks design with three replicates. The results show that the traditional Bayesian AMMI model produces low shrinkage of singular values but avoids the usual pitfalls in determining the credible intervals in the biplot. On the other hand, Bayesian shrinkage AMMI models have difficulty with the credible interval for model parameters, but produce stronger shrinkage of the principal components, converging to GE matrices that have more shrinkage than those obtained using mixed models. This characteristic allowed more parsimonious models to be chosen, and resulted in models being selected that were similar to those obtained by the Cornelius F-test (α = 0.05) in traditional AMMI models and cross validation based on leave-one-out. This characteristic allowed more parsimonious models to be chosen and more GEI pattern retained on the first two components. The resulting model chosen by posterior distribution of singular value was also similar to those produced by the cross-validation approach in traditional AMMI models. Our method enables the estimation of credible interval for AMMI biplot plus the choice of AMMI model based on direct posterior

  8. A Bayesian Shrinkage Approach for AMMI Models.

    Directory of Open Access Journals (Sweden)

    Carlos Pereira da Silva

    Full Text Available Linear-bilinear models, especially the additive main effects and multiplicative interaction (AMMI model, are widely applicable to genotype-by-environment interaction (GEI studies in plant breeding programs. These models allow a parsimonious modeling of GE interactions, retaining a small number of principal components in the analysis. However, one aspect of the AMMI model that is still debated is the selection criteria for determining the number of multiplicative terms required to describe the GE interaction pattern. Shrinkage estimators have been proposed as selection criteria for the GE interaction components. In this study, a Bayesian approach was combined with the AMMI model with shrinkage estimators for the principal components. A total of 55 maize genotypes were evaluated in nine different environments using a complete blocks design with three replicates. The results show that the traditional Bayesian AMMI model produces low shrinkage of singular values but avoids the usual pitfalls in determining the credible intervals in the biplot. On the other hand, Bayesian shrinkage AMMI models have difficulty with the credible interval for model parameters, but produce stronger shrinkage of the principal components, converging to GE matrices that have more shrinkage than those obtained using mixed models. This characteristic allowed more parsimonious models to be chosen, and resulted in models being selected that were similar to those obtained by the Cornelius F-test (α = 0.05 in traditional AMMI models and cross validation based on leave-one-out. This characteristic allowed more parsimonious models to be chosen and more GEI pattern retained on the first two components. The resulting model chosen by posterior distribution of singular value was also similar to those produced by the cross-validation approach in traditional AMMI models. Our method enables the estimation of credible interval for AMMI biplot plus the choice of AMMI model based on direct

  9. Bayesian analysis of autoregressive panel data model: application in genetic evaluation of beef cattle Análise Bayesiana do modelo auto-regressivo para dados em painel: aplicação na avaliação genética de bovinos de corte

    Directory of Open Access Journals (Sweden)

    Fabyano Fonseca e Silva

    2011-04-01

    Full Text Available The animal breeding values forecasting at futures times is a relevant technological innovation in the field of Animal Science, since its enables a previous indication of animals that will be either kept by the producer for breeding purposes or discarded. This study discusses an MCMC Bayesian methodology applied to panel data in a time series context. We consider Bayesian analysis of an autoregressive, AR(p, panel data model of order p, using an exact likelihood function, comparative analysis of prior distributions and predictive distributions of future observations. The methodology was tested by a simulation study using three priors: hierarchical Multivariate Normal-Inverse Gamma (model 1, independent Multivariate Student's t Inverse Gamma (model 2 and Jeffrey's (model 3. Comparisons by Pseudo-Bayes Factor favored model 2. The proposed methodology was applied to longitudinal data relative to Expected Progeny Difference (EPD of beef cattle sires. The forecast efficiency was around 80%. Regarding the mean width of the EPD interval estimation (95% in a future time, a great advantage was observed for the proposed Bayesian methodology over usual asymptotic frequentist method.A previsão dos valores genéticos de animais em tempos futuros constitui importante inovação tecnológica para a área de Zootecnia, uma vez que possibilita planejar com antecedência o descarte ou a manutenção de animais no rebanho. No presente estudo considerou-se uma análise Bayesiana de modelos auto-regressivos de ordem p, AR(p, para dados em painel, de forma a utilizar a função de verossimilhança exata, a análise de comparação de distribuições a priori e a obtenção de distribuições preditivas de dados futuros. A metodologia utilizada foi testada mediante um estudo de simulação usando a priori hierárquica Normal multivariada-Gama inversa (modelo 1, a priori independente t-Student Gama inversa (modelo 2 e a priori de Jeffreys (modelo 3. As compara

  10. A multiscale modeling approach for biomolecular systems

    Energy Technology Data Exchange (ETDEWEB)

    Bowling, Alan, E-mail: bowling@uta.edu; Haghshenas-Jaryani, Mahdi, E-mail: mahdi.haghshenasjaryani@mavs.uta.edu [The University of Texas at Arlington, Department of Mechanical and Aerospace Engineering (United States)

    2015-04-15

    This paper presents a new multiscale molecular dynamic model for investigating the effects of external interactions, such as contact and impact, during stepping and docking of motor proteins and other biomolecular systems. The model retains the mass properties ensuring that the result satisfies Newton’s second law. This idea is presented using a simple particle model to facilitate discussion of the rigid body model; however, the particle model does provide insights into particle dynamics at the nanoscale. The resulting three-dimensional model predicts a significant decrease in the effect of the random forces associated with Brownian motion. This conclusion runs contrary to the widely accepted notion that the motor protein’s movements are primarily the result of thermal effects. This work focuses on the mechanical aspects of protein locomotion; the effect ATP hydrolysis is estimated as internal forces acting on the mechanical model. In addition, the proposed model can be numerically integrated in a reasonable amount of time. Herein, the differences between the motion predicted by the old and new modeling approaches are compared using a simplified model of myosin V.

  11. Modeling approach for business process reengineering

    Science.gov (United States)

    Tseng, Mitchell M.; Chen, Yuliu

    1995-08-01

    The purpose of this paper is to introduce a modeling approach to define, simulate, animate, and control business processes. The intent is to introduce the undergoing methodology to build tools for designing and managing business processes. Similar to computer aided design (CAD) for mechanical parts, CAD tools are needed for designing business processes. It emphasizes the dynamic behavior of business process. The proposed modeling technique consists of a definition of each individual activity, the network of activities, a control mechanism that describes coordination of these activities, and events that will flow through these activities. Based on the formalism introduced in this modeling technique, users will be able to define business process with minimum ambiguity, take snap shots of particular events in the process, describe the accountability of participants, and view a replay of event streams in the process flow. This modeling approach, mapped on top of a commercial software, has been tested by using examples from real life business process. The examples and testing helped us to identify some of the strengths and weaknesses of this proposed approach.

  12. Stable continuous-time autoregressive process driven by stable subordinator

    Science.gov (United States)

    Wyłomańska, Agnieszka; Gajda, Janusz

    2016-02-01

    In this paper we examine the continuous-time autoregressive moving average process driven by α-stable Lévy motion delayed by inverse stable subordinator. This process can be applied to high-frequency data with visible jumps and so-called "trapping-events". Those properties are often visible in financial time series but also in amorphous semiconductors, technical data describing the rotational speed of a machine working under various load regimes or data related to indoor air quality. We concentrate on the main characteristics of the examined subordinated process expressed in the language of the measures of dependence which are main tools used in statistical investigation of real data. However, because the analyzed system is based on the α-stable distribution therefore we cannot consider here the correlation (or covariance) as a main measure which indicates at the dependence inside the process. In the paper we examine the codifference, the more general measure of dependence defined for wide class of processes. Moreover we present the simulation procedure of the considered system and indicate how to estimate its parameters. The theoretical results we illustrate by the simulated data analysis.

  13. 应用阶数自学习自回归隐马尔可夫模型对控制过程异常数据的在线检测%On-line detection of outliers in control process data based on autoregressive hidden Markov model with order self-learning

    Institute of Scientific and Technical Information of China (English)

    刘芳; 毛志忠

    2011-01-01

    针对过程工业中强噪声环境下实时采集的控制过程海量数据难以在线精确检测的问题,提出了基于阶数自学习自回归隐马尔可夫模型(ARHMM)的工业控制过程异常数据在线检测方法.该算法采用自同归(AR)模型对时间序列进行拟合,利用隐马尔科夫模型(HMM)作为数据检测的工具,避免了传统检测方法中需要预先设定检测阈值的问题,并将传统的BDT(Brockwell-Dahlhaus-Trindade)算法改进成为对于时间和阶数均实施迭代的双重迭代结构,以实现ARHMM参数在线更新.为了减小异常数据对ARHMM参数更新的影响,本文采用先检测后更新的方式,根据检测结果采取不同的更新方法,提高了该算法的鲁棒性.模型数据仿真与应用试验结果证明,该算法具有较高的检测精度和抗干扰能力,同时具备在线检测的能力.通过与传统基于AR模型的异常数据检测方法比较,证明了该方法更适合作为过程工业控制过程数据的异常检测工具.%For the accurate online detection and collection of massive real-time data of a control process in strong noise environment, we propose an autoregressive hidden Markov model (AJRHMM) algorithm with order self-learning. This algorithm employs an AR model to fit the time series and makes use of the hidden Markov model as the basic detection tool for avoiding the deficiency in presetting the threshold in traditional detection methods. In order to update the parameters of ARHMM online, we adopt the improved traditional BDT(Brockwell-Dahlhaus-Trindade) algorithm with double iterative structures, in which the iterative calculations are performed respectively for both time and order. To reduce the influence of outlier on parameter updating in ARHMM, we adopt the strategy of detection-before-update, and select the method for updating based on the detection results. This strategy improves the robustness of the algorithm. Simulation with emulation data and

  14. Multiscale Model Approach for Magnetization Dynamics Simulations

    CERN Document Server

    De Lucia, Andrea; Tretiakov, Oleg A; Kläui, Mathias

    2016-01-01

    Simulations of magnetization dynamics in a multiscale environment enable rapid evaluation of the Landau-Lifshitz-Gilbert equation in a mesoscopic sample with nanoscopic accuracy in areas where such accuracy is required. We have developed a multiscale magnetization dynamics simulation approach that can be applied to large systems with spin structures that vary locally on small length scales. To implement this, the conventional micromagnetic simulation framework has been expanded to include a multiscale solving routine. The software selectively simulates different regions of a ferromagnetic sample according to the spin structures located within in order to employ a suitable discretization and use either a micromagnetic or an atomistic model. To demonstrate the validity of the multiscale approach, we simulate the spin wave transmission across the regions simulated with the two different models and different discretizations. We find that the interface between the regions is fully transparent for spin waves with f...

  15. Continuum modeling an approach through practical examples

    CERN Document Server

    Muntean, Adrian

    2015-01-01

    This book develops continuum modeling skills and approaches the topic from three sides: (1) derivation of global integral laws together with the associated local differential equations, (2) design of constitutive laws and (3) modeling boundary processes. The focus of this presentation lies on many practical examples covering aspects such as coupled flow, diffusion and reaction in porous media or microwave heating of a pizza, as well as traffic issues in bacterial colonies and energy harvesting from geothermal wells. The target audience comprises primarily graduate students in pure and applied mathematics as well as working practitioners in engineering who are faced by nonstandard rheological topics like those typically arising in the food industry.

  16. Exact Approach to Inflationary Universe Models

    Science.gov (United States)

    del Campo, Sergio

    In this chapter we introduce a study of inflationary universe models that are characterized by a single scalar inflation field . The study of these models is based on two dynamical equations: one corresponding to the Klein-Gordon equation for the inflaton field and the other to a generalized Friedmann equation. After describing the kinematics and dynamics of the models under the Hamilton-Jacobi scheme, we determine in some detail scalar density perturbations and relic gravitational waves. We also introduce the study of inflation under the hierarchy of the slow-roll parameters together with the flow equations. We apply this approach to the modified Friedmann equation that we call the Friedmann-Chern-Simons equation, characterized by F(H) = H^2- α H4, and the brane-world inflationary models expressed by the modified Friedmann equation.

  17. MODELS OF TECHNOLOGY ADOPTION: AN INTEGRATIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Andrei OGREZEANU

    2015-06-01

    Full Text Available The interdisciplinary study of information technology adoption has developed rapidly over the last 30 years. Various theoretical models have been developed and applied such as: the Technology Acceptance Model (TAM, Innovation Diffusion Theory (IDT, Theory of Planned Behavior (TPB, etc. The result of these many years of research is thousands of contributions to the field, which, however, remain highly fragmented. This paper develops a theoretical model of technology adoption by integrating major theories in the field: primarily IDT, TAM, and TPB. To do so while avoiding mess, an approach that goes back to basics in independent variable type’s development is proposed; emphasizing: 1 the logic of classification, and 2 psychological mechanisms behind variable types. Once developed these types are then populated with variables originating in empirical research. Conclusions are developed on which types are underpopulated and present potential for future research. I end with a set of methodological recommendations for future application of the model.

  18. Evolutionary modeling-based approach for model errors correction

    Science.gov (United States)

    Wan, S. Q.; He, W. P.; Wang, L.; Jiang, W.; Zhang, W.

    2012-08-01

    The inverse problem of using the information of historical data to estimate model errors is one of the science frontier research topics. In this study, we investigate such a problem using the classic Lorenz (1963) equation as a prediction model and the Lorenz equation with a periodic evolutionary function as an accurate representation of reality to generate "observational data." On the basis of the intelligent features of evolutionary modeling (EM), including self-organization, self-adaptive and self-learning, the dynamic information contained in the historical data can be identified and extracted by computer automatically. Thereby, a new approach is proposed to estimate model errors based on EM in the present paper. Numerical tests demonstrate the ability of the new approach to correct model structural errors. In fact, it can actualize the combination of the statistics and dynamics to certain extent.

  19. Evolutionary modeling-based approach for model errors correction

    Directory of Open Access Journals (Sweden)

    S. Q. Wan

    2012-08-01

    Full Text Available The inverse problem of using the information of historical data to estimate model errors is one of the science frontier research topics. In this study, we investigate such a problem using the classic Lorenz (1963 equation as a prediction model and the Lorenz equation with a periodic evolutionary function as an accurate representation of reality to generate "observational data."

    On the basis of the intelligent features of evolutionary modeling (EM, including self-organization, self-adaptive and self-learning, the dynamic information contained in the historical data can be identified and extracted by computer automatically. Thereby, a new approach is proposed to estimate model errors based on EM in the present paper. Numerical tests demonstrate the ability of the new approach to correct model structural errors. In fact, it can actualize the combination of the statistics and dynamics to certain extent.

  20. A Real Valued Neural Network Based Autoregressive Energy Detector for Cognitive Radio Application.

    Science.gov (United States)

    Onumanyi, A J; Onwuka, E N; Aibinu, A M; Ugweje, O C; Salami, M J E

    2014-01-01

    A real valued neural network (RVNN) based energy detector (ED) is proposed and analyzed for cognitive radio (CR) application. This was developed using a known two-layered RVNN model to estimate the model coefficients of an autoregressive (AR) system. By using appropriate modules and a well-designed detector, the power spectral density (PSD) of the AR system transfer function was estimated and subsequent receiver operating characteristic (ROC) curves of the detector generated and analyzed. A high detection performance with low false alarm rate was observed for varying signal to noise ratio (SNR), sample number, and model order conditions. The proposed RVNN based ED was then compared to the simple periodogram (SP), Welch periodogram (WP), multitaper (MT), Yule-Walker (YW), Burg (BG), and covariance (CV) based ED techniques. The proposed detector showed better performance than the SP, WP, and MT while providing better false alarm performance than the YW, BG, and CV. Data provided here support the effectiveness of the proposed RVNN based ED for CR application.

  1. MERGING DIGITAL SURFACE MODELS IMPLEMENTING BAYESIAN APPROACHES

    Directory of Open Access Journals (Sweden)

    H. Sadeq

    2016-06-01

    Full Text Available In this research different DSMs from different sources have been merged. The merging is based on a probabilistic model using a Bayesian Approach. The implemented data have been sourced from very high resolution satellite imagery sensors (e.g. WorldView-1 and Pleiades. It is deemed preferable to use a Bayesian Approach when the data obtained from the sensors are limited and it is difficult to obtain many measurements or it would be very costly, thus the problem of the lack of data can be solved by introducing a priori estimations of data. To infer the prior data, it is assumed that the roofs of the buildings are specified as smooth, and for that purpose local entropy has been implemented. In addition to the a priori estimations, GNSS RTK measurements have been collected in the field which are used as check points to assess the quality of the DSMs and to validate the merging result. The model has been applied in the West-End of Glasgow containing different kinds of buildings, such as flat roofed and hipped roofed buildings. Both quantitative and qualitative methods have been employed to validate the merged DSM. The validation results have shown that the model was successfully able to improve the quality of the DSMs and improving some characteristics such as the roof surfaces, which consequently led to better representations. In addition to that, the developed model has been compared with the well established Maximum Likelihood model and showed similar quantitative statistical results and better qualitative results. Although the proposed model has been applied on DSMs that were derived from satellite imagery, it can be applied to any other sourced DSMs.

  2. Merging Digital Surface Models Implementing Bayesian Approaches

    Science.gov (United States)

    Sadeq, H.; Drummond, J.; Li, Z.

    2016-06-01

    In this research different DSMs from different sources have been merged. The merging is based on a probabilistic model using a Bayesian Approach. The implemented data have been sourced from very high resolution satellite imagery sensors (e.g. WorldView-1 and Pleiades). It is deemed preferable to use a Bayesian Approach when the data obtained from the sensors are limited and it is difficult to obtain many measurements or it would be very costly, thus the problem of the lack of data can be solved by introducing a priori estimations of data. To infer the prior data, it is assumed that the roofs of the buildings are specified as smooth, and for that purpose local entropy has been implemented. In addition to the a priori estimations, GNSS RTK measurements have been collected in the field which are used as check points to assess the quality of the DSMs and to validate the merging result. The model has been applied in the West-End of Glasgow containing different kinds of buildings, such as flat roofed and hipped roofed buildings. Both quantitative and qualitative methods have been employed to validate the merged DSM. The validation results have shown that the model was successfully able to improve the quality of the DSMs and improving some characteristics such as the roof surfaces, which consequently led to better representations. In addition to that, the developed model has been compared with the well established Maximum Likelihood model and showed similar quantitative statistical results and better qualitative results. Although the proposed model has been applied on DSMs that were derived from satellite imagery, it can be applied to any other sourced DSMs.

  3. A contextual modeling approach for model-based recommender systems

    OpenAIRE

    Fernández-Tobías, Ignacio; Campos Soto, Pedro G.; Cantador, Iván; Díez, Fernando

    2013-01-01

    The final publication is available at Springer via http://dx.doi.org/10.1007/978-3-642-40643-0_5 Proceedings of 15th Conference of the Spanish Association for Artificial Intelligence, CAEPIA 2013, Madrid, Spain, September 17-20, 2013. In this paper we present a contextual modeling approach for model-based recommender systems that integrates and exploits both user preferences and contextual signals in a common vector space. Differently to previous work, we conduct a user study acquiring ...

  4. A new approach for Bayesian model averaging

    Institute of Scientific and Technical Information of China (English)

    TIAN XiangJun; XIE ZhengHui; WANG AiHui; YANG XiaoChun

    2012-01-01

    Bayesian model averaging (BMA) is a recently proposed statistical method for calibrating forecast ensembles from numerical weather models.However,successful implementation of BMA requires accurate estimates of the weights and variances of the individual competing models in the ensemble.Two methods,namely the Expectation-Maximization (EM) and the Markov Chain Monte Carlo (MCMC) algorithms,are widely used for BMA model training.Both methods have their own respective strengths and weaknesses.In this paper,we first modify the BMA log-likelihood function with the aim of removing the additional limitation that requires that the BMA weights add to one,and then use a limited memory quasi-Newtonian algorithm for solving the nonlinear optimization problem,thereby formulating a new approach for BMA (referred to as BMA-BFGS).Several groups of multi-model soil moisture simulation experiments from three land surface models show that the performance of BMA-BFGS is similar to the MCMC method in terms of simulation accuracy,and that both are superior to the EM algorithm.On the other hand,the computational cost of the BMA-BFGS algorithm is substantially less than for MCMC and is almost equivalent to that for EM.

  5. Ensemble Nonlinear Autoregressive Exogenous Artificial Neural Networks for Short-Term Wind Speed and Power Forecasting.

    Science.gov (United States)

    Men, Zhongxian; Yee, Eugene; Lien, Fue-Sang; Yang, Zhiling; Liu, Yongqian

    2014-01-01

    Short-term wind speed and wind power forecasts (for a 72 h period) are obtained using a nonlinear autoregressive exogenous artificial neural network (ANN) methodology which incorporates either numerical weather prediction or high-resolution computational fluid dynamics wind field information as an exogenous input. An ensemble approach is used to combine the predictions from many candidate ANNs in order to provide improved forecasts for wind speed and power, along with the associated uncertainties in these forecasts. More specifically, the ensemble ANN is used to quantify the uncertainties arising from the network weight initialization and from the unknown structure of the ANN. All members forming the ensemble of neural networks were trained using an efficient particle swarm optimization algorithm. The results of the proposed methodology are validated using wind speed and wind power data obtained from an operational wind farm located in Northern China. The assessment demonstrates that this methodology for wind speed and power forecasting generally provides an improvement in predictive skills when compared to the practice of using an "optimal" weight vector from a single ANN while providing additional information in the form of prediction uncertainty bounds.

  6. Beyond the Standard Model: A Noncommutative Approach

    CERN Document Server

    Stephan, Christoph A

    2009-01-01

    During the last two decades Alain Connes developed Noncommutative Geometry (NCG), which allows to unify two of the basic theories of modern physics: General Relativity (GR) and the Standard Model (SM) of Particle Physics as classical field theories. In the noncommutative framework the Higgs boson, which had previously to be put in by hand, and many of the ad hoc features of the standard model appear in a natural way. The aim of this presentation is to motivate this unification from basic physical principles and to give a flavour of its derivation. One basic prediction of the noncommutative approach to the SM is that the mass of the Higgs Boson should be of the order of 170 GeV if one assumes the Big Desert. This mass range is with reasonable probability excluded by the Tevatron and therefore it is interesting to investigate models beyond the SM that are compatible with NCG. Going beyond the SM is highly non-trivial within the NCG approach but possible extensions have been found and provide for phenomenologica...

  7. Modeling Negotiation by a Paticipatory Approach

    Science.gov (United States)

    Torii, Daisuke; Ishida, Toru; Bousquet, François

    In a participatory approach by social scientists, role playing games (RPG) are effectively used to understand real thinking and behavior of stakeholders, but RPG is not sufficient to handle a dynamic process like negotiation. In this study, a participatory simulation where user-controlled avatars and autonomous agents coexist is introduced to the participatory approach for modeling negotiation. To establish a modeling methodology of negotiation, we have tackled the following two issues. First, for enabling domain experts to concentrate interaction design for participatory simulation, we have adopted the architecture in which an interaction layer controls agents and have defined three types of interaction descriptions (interaction protocol, interaction scenario and avatar control scenario) to be described. Second, for enabling domain experts and stakeholders to capitalize on participatory simulation, we have established a four-step process for acquiring negotiation model: 1) surveys and interviews to stakeholders, 2) RPG, 3) interaction design, and 4) participatory simulation. Finally, we discussed our methodology through a case study of agricultural economics in the northeast Thailand.

  8. Modeling in transport phenomena a conceptual approach

    CERN Document Server

    Tosun, Ismail

    2007-01-01

    Modeling in Transport Phenomena, Second Edition presents and clearly explains with example problems the basic concepts and their applications to fluid flow, heat transfer, mass transfer, chemical reaction engineering and thermodynamics. A balanced approach is presented between analysis and synthesis, students will understand how to use the solution in engineering analysis. Systematic derivations of the equations and the physical significance of each term are given in detail, for students to easily understand and follow up the material. There is a strong incentive in science and engineering to

  9. Autoregressive harmonic analysis of the earth's polar motion using homogeneous International Latitude Service data

    Science.gov (United States)

    Chao, B. F.

    1983-01-01

    The homogeneous set of 80-year-long (1900-1979) International Latitude Service (ILS) polar motion data is analyzed using the autoregressive method (Chao and Gilbert, 1980), which resolves and produces estimates for the complex frequency (or frequency and Q) and complex amplitude (or amplitude and phase) of each harmonic component in the data. The ILS data support the multiple-component hypothesis of the Chandler wobble. It is found that the Chandler wobble can be adequately modeled as a linear combination of four (coherent) harmonic components, each of which represents a steady, nearly circular, prograde motion. The four-component Chandler wobble model 'explains' the apparent phase reversal during 1920-1940 and the pre-1950 empirical period-amplitude relation. The annual wobble is shown to be rather stationary over the years both in amplitude and in phase, and no evidence is found to support the large variations reported by earlier investigations. The Markowitz wobble is found to be marginally retrograde and appears to have a complicated behavior which cannot be resolved because of the shortness of the data set.

  10. Nuclear level density: Shell-model approach

    Science.gov (United States)

    Sen'kov, Roman; Zelevinsky, Vladimir

    2016-06-01

    Knowledge of the nuclear level density is necessary for understanding various reactions, including those in the stellar environment. Usually the combinatorics of a Fermi gas plus pairing is used for finding the level density. Recently a practical algorithm avoiding diagonalization of huge matrices was developed for calculating the density of many-body nuclear energy levels with certain quantum numbers for a full shell-model Hamiltonian. The underlying physics is that of quantum chaos and intrinsic thermalization in a closed system of interacting particles. We briefly explain this algorithm and, when possible, demonstrate the agreement of the results with those derived from exact diagonalization. The resulting level density is much smoother than that coming from conventional mean-field combinatorics. We study the role of various components of residual interactions in the process of thermalization, stressing the influence of incoherent collision-like processes. The shell-model results for the traditionally used parameters are also compared with standard phenomenological approaches.

  11. Modeling Social Annotation: a Bayesian Approach

    CERN Document Server

    Plangprasopchok, Anon

    2008-01-01

    Collaborative tagging systems, such as del.icio.us, CiteULike, and others, allow users to annotate objects, e.g., Web pages or scientific papers, with descriptive labels called tags. The social annotations, contributed by thousands of users, can potentially be used to infer categorical knowledge, classify documents or recommend new relevant information. Traditional text inference methods do not make best use of socially-generated data, since they do not take into account variations in individual users' perspectives and vocabulary. In a previous work, we introduced a simple probabilistic model that takes interests of individual annotators into account in order to find hidden topics of annotated objects. Unfortunately, our proposed approach had a number of shortcomings, including overfitting, local maxima and the requirement to specify values for some parameters. In this paper we address these shortcomings in two ways. First, we extend the model to a fully Bayesian framework. Second, we describe an infinite ver...

  12. Dissecting Two Approaches to Energy Prices

    Directory of Open Access Journals (Sweden)

    Julius N. Esunge

    2011-01-01

    Full Text Available Problem statement: This research tested the viability of Geometric Brownian Motion as a stochastic model of oil prices. Approach: Using autoregressions and unit root tests, we determined that oil prices tend not to exhibit the Markov Property and thus GBM may be a problematic model. Results: Instead, oil prices seem to be mean reverting over the long run, possibly following an Ornstein-Uhlenbeck process. Conclusion/Recommendations: To determine whether or not OPEC was the cause of mean reversion, we repeated the tests after controlling for quotas, only to find the same results did not apply over the short run.

  13. Analysis of the Temporal Organization of Sleep Spindles in the Human Sleep EEG Using a Phenomenological Modeling Approach

    OpenAIRE

    Olbrich, Eckehard; Achermann, Peter

    2008-01-01

    The sleep electroencephalogram (EEG) is characterized by typical oscillatory patterns such as sleep spindles and slow waves. Recently, we proposed a method to detect and analyze these patterns using linear autoregressive models for short (≈ 1 s) data segments. We analyzed the temporal organization of sleep spindles and discuss to what extent the observed interevent intervals correspond to properties of stationary stochastic processes and whether additional slow processes, such as slow oscilla...

  14. Analysis of the temporal organization of sleep spindles in the human sleep EEG using a phenomenological modeling approach.

    OpenAIRE

    Olbrich, E; Achermann, P

    2008-01-01

    The sleep electroencephalogram (EEG) is characterized by typical oscillatory patterns such as sleep spindles and slow waves. Recently, we proposed a method to detect and analyze these patterns using linear autoregressive models for short (≈ 1 s) data segments. We analyzed the temporal organization of sleep spindles and discuss to what extent the observed interevent intervals correspond to properties of stationary stochastic processes and whether additional slow processes, such as slow oscilla...

  15. Multicomponent Equilibrium Models for Testing Geothermometry Approaches

    Energy Technology Data Exchange (ETDEWEB)

    Carl D. Palmer; Robert W. Smith; Travis L. McLing

    2013-02-01

    Geothermometry is an important tool for estimating deep reservoir temperature from the geochemical composition of shallower and cooler waters. The underlying assumption of geothermometry is that the waters collected from shallow wells and seeps maintain a chemical signature that reflects equilibrium in the deeper reservoir. Many of the geothermometers used in practice are based on correlation between water temperatures and composition or using thermodynamic calculations based a subset (typically silica, cations or cation ratios) of the dissolved constituents. An alternative approach is to use complete water compositions and equilibrium geochemical modeling to calculate the degree of disequilibrium (saturation index) for large number of potential reservoir minerals as a function of temperature. We have constructed several “forward” geochemical models using The Geochemist’s Workbench to simulate the change in chemical composition of reservoir fluids as they migrate toward the surface. These models explicitly account for the formation (mass and composition) of a steam phase and equilibrium partitioning of volatile components (e.g., CO2, H2S, and H2) into the steam as a result of pressure decreases associated with upward fluid migration from depth. We use the synthetic data generated from these simulations to determine the advantages and limitations of various geothermometry and optimization approaches for estimating the likely conditions (e.g., temperature, pCO2) to which the water was exposed in the deep subsurface. We demonstrate the magnitude of errors that can result from boiling, loss of volatiles, and analytical error from sampling and instrumental analysis. The estimated reservoir temperatures for these scenarios are also compared to conventional geothermometers. These results can help improve estimation of geothermal resource temperature during exploration and early development.

  16. Evaluating face trustworthiness: a model based approach

    Science.gov (United States)

    Baron, Sean G.; Oosterhof, Nikolaas N.

    2008-01-01

    Judgments of trustworthiness from faces determine basic approach/avoidance responses and approximate the valence evaluation of faces that runs across multiple person judgments. Here, based on trustworthiness judgments and using a computer model for face representation, we built a model for representing face trustworthiness (study 1). Using this model, we generated novel faces with an increased range of trustworthiness and used these faces as stimuli in a functional Magnetic Resonance Imaging study (study 2). Although participants did not engage in explicit evaluation of the faces, the amygdala response changed as a function of face trustworthiness. An area in the right amygdala showed a negative linear response—as the untrustworthiness of faces increased so did the amygdala response. Areas in the left and right putamen, the latter area extended into the anterior insula, showed a similar negative linear response. The response in the left amygdala was quadratic—strongest for faces on both extremes of the trustworthiness dimension. The medial prefrontal cortex and precuneus also showed a quadratic response, but their response was strongest to faces in the middle range of the trustworthiness dimension. PMID:19015102

  17. Evaluating face trustworthiness: a model based approach.

    Science.gov (United States)

    Todorov, Alexander; Baron, Sean G; Oosterhof, Nikolaas N

    2008-06-01

    Judgments of trustworthiness from faces determine basic approach/avoidance responses and approximate the valence evaluation of faces that runs across multiple person judgments. Here, based on trustworthiness judgments and using a computer model for face representation, we built a model for representing face trustworthiness (study 1). Using this model, we generated novel faces with an increased range of trustworthiness and used these faces as stimuli in a functional Magnetic Resonance Imaging study (study 2). Although participants did not engage in explicit evaluation of the faces, the amygdala response changed as a function of face trustworthiness. An area in the right amygdala showed a negative linear response-as the untrustworthiness of faces increased so did the amygdala response. Areas in the left and right putamen, the latter area extended into the anterior insula, showed a similar negative linear response. The response in the left amygdala was quadratic--strongest for faces on both extremes of the trustworthiness dimension. The medial prefrontal cortex and precuneus also showed a quadratic response, but their response was strongest to faces in the middle range of the trustworthiness dimension. PMID:19015102

  18. Implementing Ethics Auditing Model: New Approach

    Directory of Open Access Journals (Sweden)

    Merle Rihma

    2014-08-01

    Full Text Available The aims of this article are to test how does enhanced ethics audit model as a new tool for management in Estonian companies work and to investigate through ethics audit model the hidden ethical risks in information technology which occur in everyday work and may be of harm to stakeholders’ interests. Carrying out ethics audit requires the diversity of research methods. Therefore throughout the research the authors took into account triangulation method. The research was conducted through qualitative approach and an analysis on a case study, which also included interviews, questionnaires and observations. Reason why authors audited ethical aspects of company´s info technology field is due to the fact that info technology as such is an area which is not handled in any CSR reports but may cause serious ethical risks to company ́s stakeholders. The article concludes with suggesting an extension of the ethics audit model for evaluating ethical risks and for companies to help to raise employees’- awareness about safe internet using and responsibility towards protecting the organization’s information technology and to prevent ethical and moral risks occurring.

  19. Nonlinear stochastic modeling of river dissolved-oxygen

    Energy Technology Data Exchange (ETDEWEB)

    Tabios, G.Q. III.

    1984-01-01

    An important aspect of water quality modeling is forecasting water quality variables for real-time management and control applications to enhance, maintain and sustain desirable water qualities. The major objective of this research is to develop daily time series models for forecasting river dissolved-oxygen (DO). The modeling approach adopted herein combines deterministic and stochastic concepts for determining properties of the DO process based on time series data and dynamic mechanisms governing the said process. This is accomplished by deriving a general DO stochastic model structure based on a modified Streeter-Phelps DO-BOD dynamic model. Then some types of nonlinear models namely, self-exciting threshold autoregressive-moving average (SETARMA), amplitude-dependent autoregressive (ADAR) and bilinear (BL) models, and the class of linear autoregressive-moving average (ARMA) models are adopted for model identification and parameter estimation. Six stream-water quality gaging stations located in the eastern portion of the continental U.S.A. are utilized in this study. Various orders of ARMA, SETARMA, ADAR and BL models are fitted to the data. Results obtained indicated that ADAR and BL models are superior for one-step ahead forecasts, while SETARMA models are better for forecasts of longer lead times. In general, the SETARMA, ADAR and BL models show promise as alternative models for river DO time series modeling and forecasting with unique advantages in each.

  20. Approaches and models of intercultural education

    Directory of Open Access Journals (Sweden)

    Iván Manuel Sánchez Fontalvo

    2013-10-01

    Full Text Available Needed to be aware of the need to build an intercultural society, awareness must be assumed in all social spheres, where stands the role play education. A role of transcendental, since it must promote educational spaces to form people with virtues and powers that allow them to live together / as in multicultural contexts and social diversities (sometimes uneven in an increasingly globalized and interconnected world, and foster the development of feelings of civic belonging shared before the neighborhood, city, region and country, allowing them concern and critical judgement to marginalization, poverty, misery and inequitable distribution of wealth, causes of structural violence, but at the same time, wanting to work for the welfare and transformation of these scenarios. Since these budgets, it is important to know the approaches and models of intercultural education that have been developed so far, analysing their impact on the contexts educational where apply.   

  1. Modeling water quality in an urban river using hydrological factors--data driven approaches.

    Science.gov (United States)

    Chang, Fi-John; Tsai, Yu-Hsuan; Chen, Pin-An; Coynel, Alexandra; Vachaud, Georges

    2015-03-15

    Contrasting seasonal variations occur in river flow and water quality as a result of short duration, severe intensity storms and typhoons in Taiwan. Sudden changes in river flow caused by impending extreme events may impose serious degradation on river water quality and fateful impacts on ecosystems. Water quality is measured in a monthly/quarterly scale, and therefore an estimation of water quality in a daily scale would be of good help for timely river pollution management. This study proposes a systematic analysis scheme (SAS) to assess the spatio-temporal interrelation of water quality in an urban river and construct water quality estimation models using two static and one dynamic artificial neural networks (ANNs) coupled with the Gamma test (GT) based on water quality, hydrological and economic data. The Dahan River basin in Taiwan is the study area. Ammonia nitrogen (NH3-N) is considered as the representative parameter, a correlative indicator in judging the contamination level over the study. Key factors the most closely related to the representative parameter (NH3-N) are extracted by the Gamma test for modeling NH3-N concentration, and as a result, four hydrological factors (discharge, days w/o discharge, water temperature and rainfall) are identified as model inputs. The modeling results demonstrate that the nonlinear autoregressive with exogenous input (NARX) network furnished with recurrent connections can accurately estimate NH3-N concentration with a very high coefficient of efficiency value (0.926) and a low RMSE value (0.386 mg/l). Besides, the NARX network can suitably catch peak values that mainly occur in dry periods (September-April in the study area), which is particularly important to water pollution treatment. The proposed SAS suggests a promising approach to reliably modeling the spatio-temporal NH3-N concentration based solely on hydrological data, without using water quality sampling data. It is worth noticing that such estimation can be

  2. Stochastic Modelling of Shiroro River Stream flow Process

    OpenAIRE

    J. J. Musa

    2013-01-01

    Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA). The development and use of a stochastic stream flow m...

  3. A computationally efficient autoregressive method for generating phase screens with frozen flow and turbulence in optical simulations

    CERN Document Server

    Srinath, Sriakr; Rudy, Alexander R; Ammons, S Mark

    2015-01-01

    We present a sample-based, autoregressive (AR) method for the generation and time evolution of atmospheric phase screens that is computationally efficient and uses a single parameter per Fourier mode to vary the power contained in the frozen flow and stochastic components. We address limitations of Fourier-based methods such as screen periodicity and low spatial frequency power content. Comparisons of adaptive optics (AO) simulator performance when fed AR phase screens and translating phase screens reveal significantly elevated residual closed-loop temporal power for small increases in added stochastic content at each time step, thus displaying the importance of properly modeling atmospheric "boiling". We present preliminary evidence that our model fits to AO telemetry are better reflections of real conditions than the pure frozen flow assumption.

  4. ARMA based approaches for forecasting the tuple of wind speed and direction

    Energy Technology Data Exchange (ETDEWEB)

    Erdem, Ergin; Shi, Jing [Department of Industrial and Manufacturing Engineering, North Dakota State University, Dept. 2485, PO Box 6050, Fargo, ND 58108 (United States)

    2011-04-15

    Short-term forecasting of wind speed and direction is of great importance to wind turbine operation and efficient energy harvesting. In this study, the forecasting of wind speed and direction tuple is performed. Four approaches based on autoregressive moving average (ARMA) method are employed for this purpose. The first approach features the decomposition of the wind speed into lateral and longitudinal components. Each component is represented by an ARMA model, and the results are combined to obtain the wind direction and speed forecasts. The second approach employs two independent ARMA models - a traditional ARMA model for predicting wind speed and a linked ARMA model for wind direction. The third approach features vector autoregression (VAR) models to forecast the tuple of wind attributes. The fourth approach involves employing a restricted version of the VAR approach to predict the same. By employing these four approaches, the hourly mean wind attributes are forecasted 1-h ahead for two wind observation sites in North Dakota, USA. The results are compared using the mean absolute error (MAE) as a measure for forecasting quality. It is found that the component model is better at predicting the wind direction than the traditional-linked ARMA model, whereas the opposite is observed for wind speed forecasting. Utilizing VAR approaches rather than the univariate counterparts brings modest improvement in wind direction prediction but not in wind speed prediction. Between restricted and unrestricted versions of VAR models, there is little difference in terms of forecasting performance. (author)

  5. Refining the committee approach and uncertainty prediction in hydrological modelling

    OpenAIRE

    N. Kayastha

    2014-01-01

    Due to the complexity of hydrological systems a single model may be unable to capture the full range of a catchment response and accurately predict the streamflows. The multi modelling approach opens up possibilities for handling such difficulties and allows improve the predictive capability of models. One of multi modelling approaches called "committee modelling" is one of the topics in part of this study. Special attention is given to the so-called “fuzzy committee” approach to hydrological...

  6. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

    OpenAIRE

    Allen, David E; Michael McAleer; Shelton Peiris; Singh, Abhay K.

    2016-01-01

    This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive models, and additive nonlinear autoregressive models, plus Neural Network models. The models are evalua...

  7. Agents: An approach for dynamic process modelling

    Science.gov (United States)

    Grohmann, Axel; Kopetzky, Roland; Lurk, Alexander

    1999-03-01

    With the growing amount of distributed and heterogeneous information and services, conventional information systems have come to their limits. This gave rise to the development of a Multi-Agent System (the "Logical Client") which can be used in complex information systems as well as in other advanced software systems. Computer agents are proactive, reactive and social. They form a community of independent software components that can communicate and co-operate in order to accomplish complex tasks. Thus the agent-oriented paradigm provides a new and powerful approach to programming distributed systems. The communication framework developed is based on standards like CORBA, KQML and KIF. It provides an embedded rule based system to find adequate reactions to incoming messages. The macro-architecture of the Logical Client consists of independent agents and uses artificial intelligence to cope with complex patterns of communication and actions. A set of system agents is also provided, including the Strategy Service as a core component for modelling processes at runtime, the Computer Supported Cooperative Work (CSCW) Component for supporting remote co-operation between human users and the Repository for managing and hiding the file based data flow in heterogeneous networks. This architecture seems to be capable of managing complexity in information systems. It is also being implemented in a complex simulation system that monitors and simulates the environmental radioactivity in the country Baden-Württemberg.

  8. THE CONTINUUM APPROACH IN A GROUTING MODEL

    OpenAIRE

    Demchuk, M.; Saiyouri, N.

    2014-01-01

    Получено значение максимального размера поры, при котором континуальный подход всё ещё можно применять в моделировании распространения цемента в насыщенном песке при цементации, которая не разрушает структуру грунта.The value of the maximal pore size whereby the continuum approach can still be adopted for modeling cement grout propagation in saturated sand during permeation grouting is obtained....

  9. The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression

    Energy Technology Data Exchange (ETDEWEB)

    Gopalakrishnan, C.; Tian, X. (Univ. of Hawaii at Manoa, Honolulu, HI (United States)); Tran, D. (Department of Commerce, Washington, D.C. (United States))

    The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price.

  10. Data Needs for Evolving Motor Vehicle Emission Modeling Approaches

    OpenAIRE

    Guensler, Randall

    1993-01-01

    After describing the current emission modeling regime, the paper identifies and discusses the major problems with the existing emission modeling approaches. The current short-term modeling improvement programs of the US Environmental Protection Agency and the California Air Resources Board are discussed. The paper then outlines the three long-term modeling improvement approaches that are currently being investigated by regulatory agencies: a multiple-cycle method, an engine map approach, and ...

  11. Computational and Game-Theoretic Approaches for Modeling Bounded Rationality

    NARCIS (Netherlands)

    L. Waltman (Ludo)

    2011-01-01

    textabstractThis thesis studies various computational and game-theoretic approaches to economic modeling. Unlike traditional approaches to economic modeling, the approaches studied in this thesis do not rely on the assumption that economic agents behave in a fully rational way. Instead, economic age

  12. A 'Maximum-Eigenvalue' test for the cointegration ranks in I(2) vector autoregressions

    DEFF Research Database (Denmark)

    Nielsen, Heino Bohn

    2007-01-01

    A maximum-eigenvalue test for the number of stochastic I(2) trends in a vector autoregression is suggested. The asymptotic distribution coincides with the distribution of the I(1) maximum-eigenvalue test. In two examples, the test reconciles empirical evidence with plausible economic scenarios...

  13. Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

    OpenAIRE

    Vermaat, T.M.B.; Meulen, van der, N.; Does, R.J.M.M.

    2010-01-01

    Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes correspondance: Corresponding author. Tel.: +31 20 5255203; fax: +31 20 5255101. (Vermaat, M.B.) (Vermaat, M.B.) Institute for Business and Industrial Statistics of the University of Amsterdam--> , IBIS UvA--> - NETHERLANDS (Vermaat, M.B.) Institute for Business and Industrial Statistics of the University of Amst...

  14. Adaptive Algorithm for Estimation of Two-Dimensional Autoregressive Fields from Noisy Observations

    Directory of Open Access Journals (Sweden)

    Alimorad Mahmoudi

    2014-01-01

    Full Text Available This paper deals with the problem of two-dimensional autoregressive (AR estimation from noisy observations. The Yule-Walker equations are solved using adaptive steepest descent (SD algorithm. Performance comparisons are made with other existing methods to demonstrate merits of the proposed method.

  15. An Urn Model Approach for Deriving Multivariate Generalized Hypergeometric Distributions

    OpenAIRE

    Chen, Xinjia

    2013-01-01

    We propose new generalized multivariate hypergeometric distributions, which extremely resemble the classical multivariate hypergeometric distributions. The proposed distributions are derived based on an urn model approach. In contrast to existing methods, this approach does not involve hypergeometric series.

  16. A Risk Based Neural Network Approach for Predictive Modeling of Blood Glucose Dynamics.

    Science.gov (United States)

    Frandes, Mirela; Timar, Bogdan; Lungeanu, Diana

    2016-01-01

    For type 1 diabetes patients, maintaining the blood glucose (BG) at normal values is a challenging task due to e.g. variable insulin reactions, diets, lifestyles, emotional conditions, etc. Hyperglycemic and hypoglycemic events can generate various complications (e.g. diabetic ketoacidosis, retinopathy, neuropathy, etc.), so predicting BG values in time is of great importance for diabetes self-management. Herein, we propose a non-linear autoregressive neural network approach, based on the minimal dataset available from a continuous glucose monitoring (CGM) sensor, with an integrated measure of intra-patient BG variability. The method kept the balance between accuracy and complexity, allowing a fast response with no additional effort or discomfort for the patient. PMID:27577449

  17. Multi-curve HJM modelling for risk management

    OpenAIRE

    Chiara Sabelli; Michele Pioppi; Luca Sitzia; Giacomo Bormetti

    2014-01-01

    We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for a finite number of time-to-maturity buckets, we propose a modelling framework which is inherently discrete. In particular, we show how to approximate the HJM continuous time description of the multi-curve dynamics by a Vector Autoregressive process of orde...

  18. Using Z-Transform for Electric Loads Modeling in the Presence of Harmonics

    OpenAIRE

    Ahmad M. Alkandari,; Osamah Alduaij

    2015-01-01

    An approach based on Z-transform is presented to obtain a single phase electric loads model in the presence of harmonics. The impedance or admittance of the load is expressed as a linear autoregressive exogenous input (ARX). The parameters of this series are identified using the least error squares (LES) algorithm. This algorithm uses the digitized samples of the load-input voltage and the resulting output current. Having identified the ARX parameters model, the impedance, or admi...

  19. Stochastic modeling and generation of synthetic sequences of hourly global solar irradiation at Quetta, Pakistan

    Energy Technology Data Exchange (ETDEWEB)

    Kamal, Lalarukh [Balochistan Univ., Dept. of Mathematics, Quetta (Pakistan); Jafri, Yasmin Zahra [Balochistan Univ., Dept. of Statistics, Quetta (Pakistan)

    1999-07-01

    Using hourly global radiation data at Quetta, Pakistan for 10 yr, an Autoregressive Moving Average (ARMA) process is fitted. Markov Transition Matrices have also been developed. These models are used for generating synthetic sequences for hourly radiations in MJ/m{sup 2} and that the generated sequences are compared with the observed data. We found the MTM approach relatively better as a simulator compared to ARMA modeling. (Author)

  20. Rival approaches to mathematical modelling in immunology

    Science.gov (United States)

    Andrew, Sarah M.; Baker, Christopher T. H.; Bocharov, Gennady A.

    2007-08-01

    In order to formulate quantitatively correct mathematical models of the immune system, one requires an understanding of immune processes and familiarity with a range of mathematical techniques. Selection of an appropriate model requires a number of decisions to be made, including a choice of the modelling objectives, strategies and techniques and the types of model considered as candidate models. The authors adopt a multidisciplinary perspective.

  1. Model-driven software development approaches in robotics research

    OpenAIRE

    Ramaswamy, Arun Kumar; Monsuez, Bruno; Tapus, Adriana

    2014-01-01

    Recently, there is an encouraging trend in adopting model-driven engineering approaches for software development in robotics research. In this paper, currently available model-driven techniques in robotics are analyzed with respect to the domain-specific requirements. A conceptual overview of our software development approach called 'Self Adaptive Framework for Robotic Systems (SafeRobots)' is explained and we also try to position our approach within this model ecosystem.

  2. A Causal, Data-driven Approach to Modeling the Kepler Data

    Science.gov (United States)

    Wang, Dun; Hogg, David W.; Foreman-Mackey, Daniel; Schölkopf, Bernhard

    2016-09-01

    Astronomical observations are affected by several kinds of noise, each with its own causal source; there is photon noise, stochastic source variability, and residuals coming from imperfect calibration of the detector or telescope. The precision of NASA Kepler photometry for exoplanet science—the most precise photometric measurements of stars ever made—appears to be limited by unknown or untracked variations in spacecraft pointing and temperature, and unmodeled stellar variability. Here, we present the causal pixel model (CPM) for Kepler data, a data-driven model intended to capture variability but preserve transit signals. The CPM works at the pixel level so that it can capture very fine-grained information about the variation of the spacecraft. The CPM models the systematic effects in the time series of a pixel using the pixels of many other stars and the assumption that any shared signal in these causally disconnected light curves is caused by instrumental effects. In addition, we use the target star’s future and past (autoregression). By appropriately separating, for each data point, the data into training and test sets, we ensure that information about any transit will be perfectly isolated from the model. The method has four tuning parameters—the number of predictor stars or pixels, the autoregressive window size, and two L2-regularization amplitudes for model components, which we set by cross-validation. We determine values for tuning parameters that works well for most of the stars and apply the method to a corresponding set of target stars. We find that CPM can consistently produce low-noise light curves. In this paper, we demonstrate that pixel-level de-trending is possible while retaining transit signals, and we think that methods like CPM are generally applicable and might be useful for K2, TESS, etc., where the data are not clean postage stamps like Kepler.

  3. Thin films stress modeling : a novel approach

    OpenAIRE

    Bhattacharyya, A. S.; Ramgiri, Praveen Kumar

    2015-01-01

    A novel approach to estimate the thin film stress was discussed based on surface tension. The effect of temperature and film thickness was studies. The effect of stress on the film mechanical properties was observed.

  4. Uncertainty in biology a computational modeling approach

    CERN Document Server

    Gomez-Cabrero, David

    2016-01-01

    Computational modeling of biomedical processes is gaining more and more weight in the current research into the etiology of biomedical problems and potential treatment strategies.  Computational modeling allows to reduce, refine and replace animal experimentation as well as to translate findings obtained in these experiments to the human background. However these biomedical problems are inherently complex with a myriad of influencing factors, which strongly complicates the model building and validation process.  This book wants to address four main issues related to the building and validation of computational models of biomedical processes: Modeling establishment under uncertainty Model selection and parameter fitting Sensitivity analysis and model adaptation Model predictions under uncertainty In each of the abovementioned areas, the book discusses a number of key-techniques by means of a general theoretical description followed by one or more practical examples.  This book is intended for graduate stude...

  5. Multilevel vector autoregressive prediction of sea surface temperature in the North Tropical Atlantic Ocean and the Caribbean Sea

    Science.gov (United States)

    Lee, Dong Eun; Chapman, David; Henderson, Naomi; Chen, Chen; Cane, Mark A.

    2016-07-01

    We use a multilevel vector autoregressive model (VAR-L), to forecast sea surface temperature anomalies (SSTAs) in the Atlantic hurricane Main Development Region (MDR). VAR-L is a linear regression model using global SSTA data from L prior months as predictors. In hindcasts for the recent 30 years, the multilevel VAR-L outperforms a state-of-the-art dynamic forecast model, as well as the commonly used linear inverse model (LIM). The multilevel VAR-L model shows skill in 6-12 month forecasts, with its greatest skill in the months of the active hurricane season. The optimized model for the best long-range skill score in the MDR, chosen by a cross-validation procedure, has 12 time levels and 12 empirical orthogonal function modes. We investigate the optimal initial conditions for MDR SSTA prediction using a generalized singular vector decomposition of the propagation matrix. We find that the added temporal degrees of freedom for the predictands in VAR12 as compared with a LIM model, which allow the model to capture both the local wind-evaporation-SST feedback in the Tropical Atlantic and the impact on the Atlantic of an improved medium-range ENSO forecast, elevate the long-range forecast skill in the MDR.

  6. A Multivariate Approach to Functional Neuro Modeling

    DEFF Research Database (Denmark)

    Mørch, Niels J.S.

    1998-01-01

    , provides the basis for a generalization theoretical framework relating model performance to model complexity and dataset size. Briefly summarized the major topics discussed in the thesis include: - An introduction of the representation of functional datasets by pairs of neuronal activity patterns...... a generalization theoretical framework centered around measures of model generalization error. - Only few, if any, examples of the application of generalization theory to functional neuro modeling currently exist in the literature. - Exemplification of the proposed generalization theoretical framework...... as particularly important; optimal model flexibility is a function of both the complexity and the size of the dataset at hand. This is something that has not received appropriate attention by the functional neuro modeling community so far. The observation implies that optimal model performance rarely is achieved...

  7. An equilibrium approach to modelling social interaction

    CERN Document Server

    Gallo, Ignacio

    2009-01-01

    The aim of this work is to put forward a statistical mechanics theory of social interaction, generalizing econometric discrete choice models. After showing the formal equivalence linking econometric multinomial logit models to equilibrium statical mechanics, a multi-population generalization of the Curie-Weiss model for ferromagnets is considered as a starting point in developing a model capable of describing sudden shifts in aggregate human behaviour. Existence of the thermodynamic limit for the model is shown by an asymptotic sub-additivity method and factorization of correlation functions is proved almost everywhere. The exact solution of the model is provided in the thermodynamical limit by finding converging upper and lower bounds for the system's pressure, and the solution is used to prove an analytic result regarding the number of possible equilibrium states of a two-population system. The work stresses the importance of linking regimes predicted by the model to real phenomena, and to this end it propo...

  8. Systematic approach to modelling in economic systems information Petri nets

    Directory of Open Access Journals (Sweden)

    Dmitry V. Gorbachev

    2011-08-01

    Full Text Available The article describes the systematic approach to developing a system of combined models of discrete processes. Mathematical basis for constructing a model of information Petri nets.

  9. Comparison of conventional averaged and rapid averaged, autoregressive-based extracted auditory evoked potentials for monitoring the hypnotic level during propofol induction

    DEFF Research Database (Denmark)

    Litvan, Héctor; Jensen, Erik W; Galan, Josefina;

    2002-01-01

    The extraction of the middle latency auditory evoked potentials (MLAEP) is usually done by moving time averaging (MTA) over many sweeps (often 250-1,000), which could produce a delay of more than 1 min. This problem was addressed by applying an autoregressive model with exogenous input (ARX) that...... enables extraction of the auditory evoked potentials (AEP) within 15 sweeps. The objective of this study was to show that an AEP could be extracted faster by ARX than by MTA and with the same reliability....

  10. A model-based multisensor data fusion knowledge management approach

    Science.gov (United States)

    Straub, Jeremy

    2014-06-01

    A variety of approaches exist for combining data from multiple sensors. The model-based approach combines data based on its support for or refutation of elements of the model which in turn can be used to evaluate an experimental thesis. This paper presents a collection of algorithms for mapping various types of sensor data onto a thesis-based model and evaluating the truth or falsity of the thesis, based on the model. The use of this approach for autonomously arriving at findings and for prioritizing data are considered. Techniques for updating the model (instead of arriving at a true/false assertion) are also discussed.

  11. Uncertainty in biology: a computational modeling approach

    OpenAIRE

    2015-01-01

    Computational modeling of biomedical processes is gaining more and more weight in the current research into the etiology of biomedical problems and potential treatment strategies. Computational modeling allows to reduce, refine and replace animal experimentation as well as to translate findings obtained in these experiments to the human background. However these biomedical problems are inherently complex with a myriad of influencing factors, which strongly complicates the model building...

  12. Consumer preference models: fuzzy theory approach

    Science.gov (United States)

    Turksen, I. B.; Wilson, I. A.

    1993-12-01

    Consumer preference models are widely used in new product design, marketing management, pricing and market segmentation. The purpose of this article is to develop and test a fuzzy set preference model which can represent linguistic variables in individual-level models implemented in parallel with existing conjoint models. The potential improvements in market share prediction and predictive validity can substantially improve management decisions about what to make (product design), for whom to make it (market segmentation) and how much to make (market share prediction).

  13. Teacher Consultation Model: An Operant Approach

    Science.gov (United States)

    Halfacre, John; Welch, Frances

    1973-01-01

    This article describes a model for changing teacher behavior in dealing with problem students. The model reflects the incorporation of learning theory techniques (pinpointing behavior, reinforcement, shaping, etc.). A step-by-step account of how a psychologist deals with a teacher concerned about a boy's cursing is given. The teacher is encouraged…

  14. Students' Approaches to Learning a New Mathematical Model

    Science.gov (United States)

    Flegg, Jennifer A.; Mallet, Daniel G.; Lupton, Mandy

    2013-01-01

    In this article, we report on the findings of an exploratory study into the experience of undergraduate students as they learn new mathematical models. Qualitative and quantitative data based around the students' approaches to learning new mathematical models were collected. The data revealed that students actively adopt three approaches to…

  15. Nucleon Spin Content in a Relativistic Quark Potential Model Approach

    Institute of Scientific and Technical Information of China (English)

    DONG YuBing; FENG QingGuo

    2002-01-01

    Based on a relativistic quark model approach with an effective potential U(r) = (ac/2)(1 + γ0)r2, the spin content of the nucleon is investigated. Pseudo-scalar interaction between quarks and Goldstone bosons is employed to calculate the couplings between the Goldstone bosons and the nucleon. Different approaches to deal with the center of mass correction in the relativistic quark potential model approach are discussed.

  16. A simple approach to modeling ductile failure.

    Energy Technology Data Exchange (ETDEWEB)

    Wellman, Gerald William

    2012-06-01

    Sandia National Laboratories has the need to predict the behavior of structures after the occurrence of an initial failure. In some cases determining the extent of failure, beyond initiation, is required, while in a few cases the initial failure is a design feature used to tailor the subsequent load paths. In either case, the ability to numerically simulate the initiation and propagation of failures is a highly desired capability. This document describes one approach to the simulation of failure initiation and propagation.

  17. An approach for activity-based DEVS model specification

    DEFF Research Database (Denmark)

    Alshareef, Abdurrahman; Sarjoughian, Hessam S.; Zarrin, Bahram

    2016-01-01

    activity-based behavior modeling of parallel DEVS atomic models. We consider UML activities and actions as fundamental units of behavior modeling, especially in the presence of recent advances in the UML 2.5 specifications. We describe in detail how to approach activity modeling with a set of elemental...

  18. Challenges and opportunities for integrating lake ecosystem modelling approaches

    Science.gov (United States)

    Mooij, Wolf M.; Trolle, Dennis; Jeppesen, Erik; Arhonditsis, George; Belolipetsky, Pavel V.; Chitamwebwa, Deonatus B.R.; Degermendzhy, Andrey G.; DeAngelis, Donald L.; Domis, Lisette N. De Senerpont; Downing, Andrea S.; Elliott, J. Alex; Ruberto, Carlos Ruberto; Gaedke, Ursula; Genova, Svetlana N.; Gulati, Ramesh D.; Hakanson, Lars; Hamilton, David P.; Hipsey, Matthew R.; Hoen, Jochem 't; Hulsmann, Stephan; Los, F. Hans; Makler-Pick, Vardit; Petzoldt, Thomas; Prokopkin, Igor G.; Rinke, Karsten; Schep, Sebastiaan A.; Tominaga, Koji; Van Dam, Anne A.; Van Nes, Egbert H.; Wells, Scott A.; Janse, Jan H.

    2010-01-01

    A large number and wide variety of lake ecosystem models have been developed and published during the past four decades. We identify two challenges for making further progress in this field. One such challenge is to avoid developing more models largely following the concept of others ('reinventing the wheel'). The other challenge is to avoid focusing on only one type of model, while ignoring new and diverse approaches that have become available ('having tunnel vision'). In this paper, we aim at improving the awareness of existing models and knowledge of concurrent approaches in lake ecosystem modelling, without covering all possible model tools and avenues. First, we present a broad variety of modelling approaches. To illustrate these approaches, we give brief descriptions of rather arbitrarily selected sets of specific models. We deal with static models (steady state and regression models), complex dynamic models (CAEDYM, CE-QUAL-W2, Delft 3D-ECO, LakeMab, LakeWeb, MyLake, PCLake, PROTECH, SALMO), structurally dynamic models and minimal dynamic models. We also discuss a group of approaches that could all be classified as individual based: super-individual models (Piscator, Charisma), physiologically structured models, stage-structured models and trait-based models. We briefly mention genetic algorithms, neural networks, Kalman filters and fuzzy logic. Thereafter, we zoom in, as an in-depth example, on the multi-decadal development and application of the lake ecosystem model PCLake and related models (PCLake Metamodel, Lake Shira Model, IPH-TRIM3D-PCLake). In the discussion, we argue that while the historical development of each approach and model is understandable given its 'leading principle', there are many opportunities for combining approaches. We take the point of view that a single 'right' approach does not exist and should not be strived for. Instead, multiple modelling approaches, applied concurrently to a given problem, can help develop an integrative

  19. An Application of Non-Linear Autoregressive Neural Networks to Predict Energy Consumption in Public Buildings

    Directory of Open Access Journals (Sweden)

    Luis Gonzaga Baca Ruiz

    2016-08-01

    Full Text Available This paper addresses the problem of energy consumption prediction using neural networks over a set of public buildings. Since energy consumption in the public sector comprises a substantial share of overall consumption, the prediction of such consumption represents a decisive issue in the achievement of energy savings. In our experiments, we use the data provided by an energy consumption monitoring system in a compound of faculties and research centers at the University of Granada, and provide a methodology to predict future energy consumption using nonlinear autoregressive (NAR and the nonlinear autoregressive neural network with exogenous inputs (NARX, respectively. Results reveal that NAR and NARX neural networks are both suitable for performing energy consumption prediction, but also that exogenous data may help to improve the accuracy of predictions.

  20. Estimation of Time-Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In the last decade alpha-stable distributions have become a standard model for impulsive data. Especially the linear symmetric alpha-stable processes have found...

  1. Machine Learning Approaches for Modeling Spammer Behavior

    CERN Document Server

    Islam, Md Saiful; Islam, Md Rafiqul

    2010-01-01

    Spam is commonly known as unsolicited or unwanted email messages in the Internet causing potential threat to Internet Security. Users spend a valuable amount of time deleting spam emails. More importantly, ever increasing spam emails occupy server storage space and consume network bandwidth. Keyword-based spam email filtering strategies will eventually be less successful to model spammer behavior as the spammer constantly changes their tricks to circumvent these filters. The evasive tactics that the spammer uses are patterns and these patterns can be modeled to combat spam. This paper investigates the possibilities of modeling spammer behavioral patterns by well-known classification algorithms such as Na\\"ive Bayesian classifier (Na\\"ive Bayes), Decision Tree Induction (DTI) and Support Vector Machines (SVMs). Preliminary experimental results demonstrate a promising detection rate of around 92%, which is considerably an enhancement of performance compared to similar spammer behavior modeling research.

  2. An improved approach for tank purge modeling

    Science.gov (United States)

    Roth, Jacob R.; Chintalapati, Sunil; Gutierrez, Hector M.; Kirk, Daniel R.

    2013-05-01

    Many launch support processes use helium gas to purge rocket propellant tanks and fill lines to rid them of hazardous contaminants. As an example, the purge of the Space Shuttle's External Tank used approximately 1,100 kg of helium. With the rising cost of helium, initiatives are underway to examine methods to reduce helium consumption. Current helium purge processes have not been optimized using physics-based models, but rather use historical 'rules of thumb'. To develop a more accurate and useful model of the tank purge process, computational fluid dynamics simulations of several tank configurations were completed and used as the basis for the development of an algebraic model of the purge process. The computationally efficient algebraic model of the purge process compares well with a detailed transient, three-dimensional computational fluid dynamics (CFD) simulation as well as with experimental data from two external tank purges.

  3. INFLATION AND COMPETITIVENESS, A VAR MODELLING APPROACH

    Directory of Open Access Journals (Sweden)

    Cosmin FRATOSTITEANU

    2010-01-01

    Full Text Available VAR modeling in inflation forecasting has been widely used, and rathersuccessful, even if there have been several critiques of its exactness oraccuracy. This paper is structured into two sections. The first oneaccomplishes a general presentation of VAR modeling in forecastinginflation, and the second is focused on the results of this econometricapproach for inflation in Romania. Even if we considered methodologiescontaining inflation measured using CPI, CORE1 and CORE2, testing willonly be performed for the CPI Inflation.

  4. Business Models in OER, a Contingency Approach

    OpenAIRE

    Helsdingen, Anne; Janssen, Ben; Schuwer, Robert

    2010-01-01

    We will present an analysis of data from a literature review and semi-structured interviews with experts on OER, to identify different aspects of OER business models and to establish how the success of the OER initiatives is measured. The results collected thus far show that two different business models for OER initiatives exist, but no data on their success or failure is published. We propose a framework for measuring success of OER initiatives.

  5. Second Quantization Approach to Stochastic Epidemic Models

    CERN Document Server

    Mondaini, Leonardo

    2015-01-01

    We show how the standard field theoretical language based on creation and annihilation operators may be used for a straightforward derivation of closed master equations describing the population dynamics of multivariate stochastic epidemic models. In order to do that, we introduce an SIR-inspired stochastic model for hepatitis C virus epidemic, from which we obtain the time evolution of the mean number of susceptible, infected, recovered and chronically infected individuals in a population whose total size is allowed to change.

  6. Relativistic models of magnetars: Nonperturbative analytical approach

    CERN Document Server

    Yazadjiev, Stoytcho

    2011-01-01

    In the present paper we focus on building simple nonperturbative analytical relativistic models of magnetars. With this purpose in mind we first develop a method for generating exact interior solutions to the static and axisymmetric Einstein-Maxwell-hydrodynamic equations with anisotropic perfect fluid and with pure poloidal magnetic field. Then using an explicit exact solution we present a simple magnetar model and calculate some physically interesting quantities as the surface elipticity and the total energy of the magnetized star.

  7. Implementing Ethics Auditing Model: New Approach

    OpenAIRE

    Merle Rihma; Birgy Lorenz; Mari Meel; Anu Leppiman

    2014-01-01

    The aims of this article are to test how does enhanced ethics audit model as a new tool for management in Estonian companies work and to investigate through ethics audit model the hidden ethical risks in information technology which occur in everyday work and may be of harm to stakeholders’ interests. Carrying out ethics audit requires the diversity of research methods. Therefore throughout the research the authors took into account triangulation method. The research was conducted through qu...

  8. Modelling Stop Intersection Approaches using Gaussian Processes

    OpenAIRE

    Armand, Alexandre; Filliat, David; Ibanez-Guzman, Javier

    2013-01-01

    International audience Each driver reacts differently to the same traffic conditions, however, most Advanced Driving Assistant Systems (ADAS) assume that all drivers are the same. This paper proposes a method to learn and to model the velocity profile that the driver follows as the vehicle decelerates towards a stop intersection. Gaussian Processes (GP), a machine learning method for non-linear regressions are used to model the velocity profiles. It is shown that GP are well adapted for su...

  9. Identification of Civil Engineering Structures using Vector ARMA Models

    DEFF Research Database (Denmark)

    Andersen, P.

    The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models.......The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models....

  10. Flipped models in Trinification: A Comprehensive Approach

    CERN Document Server

    Rodríguez, Oscar; Ponce, William A; Rojas, Eduardo

    2016-01-01

    By considering the 3-3-1 and the left-right symmetric models as low energy effective theories of the trinification group, alternative versions of these models are found. The new neutral gauge bosons in the universal 3-3-1 model and its flipped versions are considered; also, the left-right symmetric model and the two flipped variants of it are also studied. For these models, the couplings of the $Z'$ bosons to the standard model fermions are reported. The explicit form of the null space of the vector boson mass matrix for an arbitrary Higgs tensor and gauge group is also presented. In the general framework of the trinification gauge group, and by using the LHC experimental results and EW precision data, limits on the $Z'$ mass and the mixing angle between $Z$ and the new gauge bosons $Z'$ are imposed. The general results call for very small mixing angles in the range $10^{-3}$ radians and $M_{Z'}$ > 2.5 TeV.

  11. Determinants of Target Dividend Payout Ratio: A Panel Autoregressive Distributed Lag Analysis

    OpenAIRE

    Kartal Demirgüneþ

    2015-01-01

    The aim of this study is to find out the determinants of target dividend payout ratio (TDPR) of BIST - listed firms operating in the non-metallic products (cement) manufacturing industry in the period of 2002-2012. Through this aim, the short and long-run effects of factors related to profitability, liquidity, growth, risk, market expectations and taxation on TDPR is analyzed via panel autoregressive distributed lag analysis methodology. Empirical findings indicate that in the long-run, facto...

  12. Manufacturing Excellence Approach to Business Performance Model

    Directory of Open Access Journals (Sweden)

    Jesus Cruz Alvarez

    2015-03-01

    Full Text Available Six Sigma, lean manufacturing, total quality management, quality control, and quality function deployment are the fundamental set of tools to enhance productivity in organizations. There is some research that outlines the benefit of each tool into a particular context of firm´s productivity, but not into a broader context of firm´s competitiveness that is achieved thru business performance. The aim of this theoretical research paper is to contribute to this mean and propose a manufacturing excellence approach that links productivity tools into a broader context of business performance.

  13. Fractal approach to computer-analytical modelling of tree crown

    International Nuclear Information System (INIS)

    In this paper we discuss three approaches to the modeling of a tree crown development. These approaches are experimental (i.e. regressive), theoretical (i.e. analytical) and simulation (i.e. computer) modeling. The common assumption of these is that a tree can be regarded as one of the fractal objects which is the collection of semi-similar objects and combines the properties of two- and three-dimensional bodies. We show that a fractal measure of crown can be used as the link between the mathematical models of crown growth and light propagation through canopy. The computer approach gives the possibility to visualize a crown development and to calibrate the model on experimental data. In the paper different stages of the above-mentioned approaches are described. The experimental data for spruce, the description of computer system for modeling and the variant of computer model are presented. (author). 9 refs, 4 figs

  14. MDA based-approach for UML Models Complete Comparison

    CERN Document Server

    Chaouni, Samia Benabdellah; Mouline, Salma

    2011-01-01

    If a modeling task is distributed, it will frequently be necessary to integrate models developed by different team members. Problems occur in the models integration step and particularly, in the comparison phase of the integration. This issue had been discussed in several domains and various models. However, previous approaches have not correctly handled the semantic comparison. In the current paper, we provide a MDA-based approach for models comparison which aims at comparing UML models. We develop an hybrid approach which takes into account syntactic, semantic and structural comparison aspects. For this purpose, we use the domain ontology as well as other resources such as dictionaries. We propose a decision support system which permits the user to validate (or not) correspondences extracted in the comparison phase. For implementation, we propose an extension of the generic correspondence metamodel AMW in order to transform UML models to the correspondence model.

  15. MDA based-approach for UML Models Complete Comparison

    Directory of Open Access Journals (Sweden)

    Samia Benabdellah Chaouni

    2011-03-01

    Full Text Available If a modeling task is distributed, it will frequently be necessary to integrate models developed by different team members. Problems occur in the models integration step and particularly, in the comparison phase of the integration. This issue had been discussed in several domains and various models. However, previous approaches have not correctly handled the semantic comparison. In the current paper, we provide a MDA-based approach for models comparison which aims at comparing UML models. We develop an hybrid approach which takes into account syntactic, semantic and structural comparison aspects. For this purpose, we use the domain ontology as well as other resources such as dictionaries. We propose a decision support system which permits the user to validate (or not correspondences extracted in the comparison phase. For implementation, we propose an extension of the generic correspondence metamodel AMW in order to transform UML models to the correspondence model.

  16. The simplified models approach to constraining supersymmetry

    Energy Technology Data Exchange (ETDEWEB)

    Perez, Genessis [Institut fuer Theoretische Physik, Karlsruher Institut fuer Technologie (KIT), Wolfgang-Gaede-Str. 1, 76131 Karlsruhe (Germany); Kulkarni, Suchita [Laboratoire de Physique Subatomique et de Cosmologie, Universite Grenoble Alpes, CNRS IN2P3, 53 Avenue des Martyrs, 38026 Grenoble (France)

    2015-07-01

    The interpretation of the experimental results at the LHC are model dependent, which implies that the searches provide limited constraints on scenarios such as supersymmetry (SUSY). The Simplified Models Spectra (SMS) framework used by ATLAS and CMS collaborations is useful to overcome this limitation. SMS framework involves a small number of parameters (all the properties are reduced to the mass spectrum, the production cross section and the branching ratio) and hence is more generic than presenting results in terms of soft parameters. In our work, the SMS framework was used to test Natural SUSY (NSUSY) scenario. To accomplish this task, two automated tools (SModelS and Fastlim) were used to decompose the NSUSY parameter space in terms of simplified models and confront the theoretical predictions against the experimental results. The achievement of both, just as the strengths and limitations, are here expressed for the NSUSY scenario.

  17. Modeling Approaches for Describing Microbial Population Heterogeneity

    DEFF Research Database (Denmark)

    Lencastre Fernandes, Rita

    population dynamics, in response to the substrate consumption observed during batch cultivation. Cell size and cell cycle position distributions were used to describe the cell population. A two-stage PBM was developed and coupled to an unstructured model describing the extracellular environment. The good...... for cultivations in large-scale reactors, where substrate and oxygen gradients are observed, in comparison to cultivations in well-mixed bench scale reactors. Population balance models (PBM) have been used in a broad range of applications (e.g. crystallization, granulation, flocculation, polymerization processes...... observed to provide a dynamic picture of the interplay between the cells and their surrounding extracellular environment. The work here presented aimed at developing a model framework based on PBM as a tool to further understand the development of heterogeneous microbial populations subjected to varying...

  18. Performance modelling of barriers: A pragmatic approach

    International Nuclear Information System (INIS)

    In this article physical barriers to control migration of contaminants from abandoned nuclear sites are discussed. Modelling the performance and time behaviour of barriers against release and transport of radionuclides is difficult. Analysis of the long-term performance poses problems since the properties of the barrier may change in time. Due to the complexity of possible degradation processes, the few available data are highly empirical, making the prediction of the degradation as a function of time almost impossible. Our main objective was to find a model that is relatively easy to use and that can give results adequate for long-term radiological assessments

  19. New approaches for modeling type Ia supernovae

    International Nuclear Information System (INIS)

    Type Ia supernovae (SNe Ia) are the largest thermonuclear explosions in the Universe. Their light output can be seen across great distances and has led to the discovery that the expansion rate of the Universe is accelerating. Despite the significance of SNe Ia, there are still a large number of uncertainties in current theoretical models. Computational modeling offers the promise to help answer the outstanding questions. However, even with today's supercomputers, such calculations are extremely challenging because of the wide range of length and timescales. In this paper, we discuss several new algorithms for simulations of SNe Ia and demonstrate some of their successes

  20. The ACR Model

    DEFF Research Database (Denmark)

    Bec, Frederique; Rahbek, Anders Christian; Shephard, Neil

    2008-01-01

    switching class of models, which are commonly used to describe nonlinear dynamics as implied by arbitrage in presence of transaction costs. Simple conditions on the parameters of the ACR process and its innovations are shown to imply geometric ergodicity, stationarity and existence of moments. Furthermore......This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov...

  1. Censored latent effects autoregression, with an application to US unemployment

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)

    1998-01-01

    textabstractA new time series model is proposed to describe observed asymmetries in postwar unemployment data. We assume that recession periods, when unemployment increases rapidly, are caused by unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression mod

  2. Microscopic approach to the interacting boson model

    International Nuclear Information System (INIS)

    An attempt is made to calculate the parameters of the interacting boson model (IBM) microscopically, by truncating the shell model space to states composed of pairs of fermions coupled to angular momentum L=0 and 2. A new derivation of the number-operator approximation (NOA) of Otsuka and Arima is presented allowing a number-conserving treatment of pairing correlations in terms of one collective monopole pair S. Application of the NOA to Ni yields results that are in good agreement with exact shell model calculations. Using a finite boson representation the generalization to neutron-proton systems is made, and the Sm isotopes are calculated as a realistic example. Renormalization effects due to the g boson are considered and shown to be of minor importance in Sm. Finally, the truncated quadrupole-phonon model (TQM) interpretation of the IBM is investigated, with particular emphasis on its relation with the SD-pair picture. An explanation of the prolate-oblate transition in Pt and Os is given in terms of subshell effects. (author)

  3. Energy and development : A modelling approach

    NARCIS (Netherlands)

    van Ruijven, B.J.

    2008-01-01

    Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used explore p

  4. Energy and Development. A Modelling Approach

    International Nuclear Information System (INIS)

    Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used to explore possible future developments of the global energy system and identify policies to prevent potential problems. Such estimations of future energy use in developing countries are very uncertain. Crucial factors in the future energy use of these regions are electrification, urbanisation and income distribution, issues that are generally not included in present day global energy models. Model simulations in this thesis show that current insight in developments in low-income regions lead to a wide range of expected energy use in 2030 of the residential and transport sectors. This is mainly caused by many different model calibration options that result from the limited data availability for model development and calibration. We developed a method to identify the impact of model calibration uncertainty on future projections. We developed a new model for residential energy use in India, in collaboration with the Indian Institute of Science. Experiments with this model show that the impact of electrification and income distribution is less univocal than often assumed. The use of fuelwood, with related health risks, can decrease rapidly if the income of poor groups increases. However, there is a trade off in terms of CO2 emissions because these groups gain access to electricity and the ownership of appliances increases. Another issue is the potential role of new technologies in developing countries: will they use the opportunities of leapfrogging? We explored the potential role of hydrogen, an energy carrier that might play a central role in a sustainable energy system. We found that hydrogen only plays a role before 2050 under very optimistic assumptions. Regional energy

  5. A Reflective Approach to Model-Driven Web Engineering

    Science.gov (United States)

    Clowes, Darren; Kolovos, Dimitris; Holmes, Chris; Rose, Louis; Paige, Richard; Johnson, Julian; Dawson, Ray; Probets, Steve

    A reflective approach to model-driven web engineering is presented, which aims to overcome several of the shortcomings of existing generative approaches. The approach uses the Epsilon platform and Apache Tomcat to render dynamic HTML content using Epsilon Generation Language templates. This enables EMF-based models to be used as data sources without the need to pre-generate any HTML or dynamic script, or duplicate the contents into a database. The paper reports on our experimental results in using this approach for dynamically querying and visualising a very large military standard.

  6. Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach

    Institute of Scientific and Technical Information of China (English)

    CHAN Kung-Sik; TONG Howell; STENSETH Nils Chr

    2009-01-01

    The study of the rodent fluctuations of the North was initiated in its modern form with Elton's pioneering work. Many scientific studies have been designed to collect yearly rodent abundance data, but the resulting time series are generally subject to at least two "problems": being short and non-linear. We explore the use of the continuous threshold autoregressive (TAR) models for analyzing such data. In the simplest case, the continuous TAR models are additive autoregressive models, being piecewise linear in one lag, and linear in all other lags. The location of the slope change is called the threshold parameter. The continuous TAR models for rodent abundance data can be derived from a general prey-predator model under some simplifying assumptions. The lag in which the threshold is located sheds important insights on the structure of the prey-predator system. We propose to assess the uncertainty on the location of the threshold via a new bootstrap called the nearest block bootstrap (NBB) which combines the methods of moving block bootstrap and the nearest neighbor bootstrap.The NBB assumes an underlying finite-order time-homogeneous Markov process. Essentially, the NBB bootstraps blocks of random block sizes, with each block being drawn from a non-parametric estimate of the future distribution given the realized past bootstrap series. We illustrate the methods by simulations and on a particular rodent abundance time series from Kilpisjarvi, Northern Finland.

  7. Integration models: multicultural and liberal approaches confronted

    Science.gov (United States)

    Janicki, Wojciech

    2012-01-01

    European societies have been shaped by their Christian past, upsurge of international migration, democratic rule and liberal tradition rooted in religious tolerance. Boosting globalization processes impose new challenges on European societies, striving to protect their diversity. This struggle is especially clearly visible in case of minorities trying to resist melting into mainstream culture. European countries' legal systems and cultural policies respond to these efforts in many ways. Respecting identity politics-driven group rights seems to be the most common approach, resulting in creation of a multicultural society. However, the outcome of respecting group rights may be remarkably contradictory to both individual rights growing out from liberal tradition, and to reinforced concept of integration of immigrants into host societies. The hereby paper discusses identity politics upturn in the context of both individual rights and integration of European societies.

  8. An integrated approach to modeling and adaptive control

    Institute of Scientific and Technical Information of China (English)

    HAN Zhi-gang

    2006-01-01

    In the book (Adaptive Identification,Prediction and Control-Multi Level Recursive Approach), the concept of dynamical linearization of nonlinear systems has been presented.This dynamical linearization is formal only,not a real linearization.From the linearization procedure,we can find a new approach of system identification,which is on-line real-time modeling and real-time feedback control correction.The modeling and real-time feedback control have been integrated in the identification approach,with the parameter adaptation model being abandoned.The structure adaptation of control systems has been achieved,which avoids the complex modeling steps.The objective of this paper is to introduce the approach of integrated modeling and control.

  9. Tumour resistance to cisplatin: a modelling approach

    Science.gov (United States)

    Marcu, L.; Bezak, E.; Olver, I.; van Doorn, T.

    2005-01-01

    Although chemotherapy has revolutionized the treatment of haematological tumours, in many common solid tumours the success has been limited. Some of the reasons for the limitations are: the timing of drug delivery, resistance to the drug, repopulation between cycles of chemotherapy and the lack of complete understanding of the pharmacokinetics and pharmacodynamics of a specific agent. Cisplatin is among the most effective cytotoxic agents used in head and neck cancer treatments. When modelling cisplatin as a single agent, the properties of cisplatin only have to be taken into account, reducing the number of assumptions that are considered in the generalized chemotherapy models. The aim of the present paper is to model the biological effect of cisplatin and to simulate the consequence of cisplatin resistance on tumour control. The 'treated' tumour is a squamous cell carcinoma of the head and neck, previously grown by computer-based Monte Carlo techniques. The model maintained the biological constitution of a tumour through the generation of stem cells, proliferating cells and non-proliferating cells. Cell kinetic parameters (mean cell cycle time, cell loss factor, thymidine labelling index) were also consistent with the literature. A sensitivity study on the contribution of various mechanisms leading to drug resistance is undertaken. To quantify the extent of drug resistance, the cisplatin resistance factor (CRF) is defined as the ratio between the number of surviving cells of the resistant population and the number of surviving cells of the sensitive population, determined after the same treatment time. It is shown that there is a supra-linear dependence of CRF on the percentage of cisplatin-DNA adducts formed, and a sigmoid-like dependence between CRF and the percentage of cells killed in resistant tumours. Drug resistance is shown to be a cumulative process which eventually can overcome tumour regression leading to treatment failure.

  10. Tumour resistance to cisplatin: a modelling approach

    International Nuclear Information System (INIS)

    Although chemotherapy has revolutionized the treatment of haematological tumours, in many common solid tumours the success has been limited. Some of the reasons for the limitations are: the timing of drug delivery, resistance to the drug, repopulation between cycles of chemotherapy and the lack of complete understanding of the pharmacokinetics and pharmacodynamics of a specific agent. Cisplatin is among the most effective cytotoxic agents used in head and neck cancer treatments. When modelling cisplatin as a single agent, the properties of cisplatin only have to be taken into account, reducing the number of assumptions that are considered in the generalized chemotherapy models. The aim of the present paper is to model the biological effect of cisplatin and to simulate the consequence of cisplatin resistance on tumour control. The 'treated' tumour is a squamous cell carcinoma of the head and neck, previously grown by computer-based Monte Carlo techniques. The model maintained the biological constitution of a tumour through the generation of stem cells, proliferating cells and non-proliferating cells. Cell kinetic parameters (mean cell cycle time, cell loss factor, thymidine labelling index) were also consistent with the literature. A sensitivity study on the contribution of various mechanisms leading to drug resistance is undertaken. To quantify the extent of drug resistance, the cisplatin resistance factor (CRF) is defined as the ratio between the number of surviving cells of the resistant population and the number of surviving cells of the sensitive population, determined after the same treatment time. It is shown that there is a supra-linear dependence of CRF on the percentage of cisplatin-DNA adducts formed, and a sigmoid-like dependence between CRF and the percentage of cells killed in resistant tumours. Drug resistance is shown to be a cumulative process which eventually can overcome tumour regression leading to treatment failure

  11. A model approach to climate change

    International Nuclear Information System (INIS)

    The Earth is warming up, with potentially disastrous consequences. Computer climate models based on physics are our best hope of predicting and managing climate change, as Adam Scaife, Chris Folland and John Mitchell explain. This month scientists from over 60 nations on the Intergovernmental Panel on Climate Change (IPCC) released the first part of their latest report on global warming. In the report the panel concludes that it is very likely that most of the 0.5 deg. C increase in global temperature over the last 50 years is due to man-made emissions of greenhouse gases. And the science suggests that much greater changes are in store: by 2100 anthropogenic global warming could be comparable to the warming of about 6 deg. C since the last ice age. The consequences of global warming could be catastrophic. As the Earth continues to heat up, the frequency of floods and droughts is likely to increase, water supplies and ecosystems will be placed under threat, agricultural practices will have to be changed and millions of people may be displaced as the sea level rises. The global economy could also be severely affected. The scientific consensus is that the observed warming of the Earth during the past half-century is mostly due to human emissions of greenhouse gases. Predicting climate change depends on sophisticated computer models developed over the past 50 years. Climate models are based on the Navier-Stokes equations for fluid flow, which are solved numerically on a grid covering the globe. These models have been very successful in simulating the past climate, giving researchers confidence in their predictions. The most likely value for the global temperature increase by 2100 is in the range 1.4-5.8 deg. C, which could have catastrophic consequences. (U.K.)

  12. A market model for stochastic smile: a conditional density approach

    NARCIS (Netherlands)

    Zilber, A.

    2005-01-01

    The purpose of this paper is to introduce a new approach that allows to construct no-arbitrage market models of for implied volatility surfaces (in other words, stochastic smile models). That is to say, the idea presented here allows us to model prices of liquidly traded vanilla options as separate

  13. A modular approach to numerical human body modeling

    NARCIS (Netherlands)

    Forbes, P.A.; Griotto, G.; Rooij, L. van

    2007-01-01

    The choice of a human body model for a simulated automotive impact scenario must take into account both accurate model response and computational efficiency as key factors. This study presents a "modular numerical human body modeling" approach which allows the creation of a customized human body mod

  14. Mathematical Modeling in Mathematics Education: Basic Concepts and Approaches

    Science.gov (United States)

    Erbas, Ayhan Kürsat; Kertil, Mahmut; Çetinkaya, Bülent; Çakiroglu, Erdinç; Alacaci, Cengiz; Bas, Sinem

    2014-01-01

    Mathematical modeling and its role in mathematics education have been receiving increasing attention in Turkey, as in many other countries. The growing body of literature on this topic reveals a variety of approaches to mathematical modeling and related concepts, along with differing perspectives on the use of mathematical modeling in teaching and…

  15. Thermoplasmonics modeling: A Green's function approach

    Science.gov (United States)

    Baffou, Guillaume; Quidant, Romain; Girard, Christian

    2010-10-01

    We extend the discrete dipole approximation (DDA) and the Green’s dyadic tensor (GDT) methods—previously dedicated to all-optical simulations—to investigate the thermodynamics of illuminated plasmonic nanostructures. This extension is based on the use of the thermal Green’s function and a original algorithm that we named Laplace matrix inversion. It allows for the computation of the steady-state temperature distribution throughout plasmonic systems. This hybrid photothermal numerical method is suited to investigate arbitrarily complex structures. It can take into account the presence of a dielectric planar substrate and is simple to implement in any DDA or GDT code. Using this numerical framework, different applications are discussed such as thermal collective effects in nanoparticles assembly, the influence of a substrate on the temperature distribution and the heat generation in a plasmonic nanoantenna. This numerical approach appears particularly suited for new applications in physics, chemistry, and biology such as plasmon-induced nanochemistry and catalysis, nanofluidics, photothermal cancer therapy, or phase-transition control at the nanoscale.

  16. Coupling approaches used in atmospheric entry models

    Science.gov (United States)

    Gritsevich, M. I.

    2012-09-01

    While a planet orbits the Sun, it is subject to impact by smaller objects, ranging from tiny dust particles and space debris to much larger asteroids and comets. Such collisions have taken place frequently over geological time and played an important role in the evolution of planets and the development of life on the Earth. Though the search for near-Earth objects addresses one of the main points of the Asteroid and Comet Hazard, one should not underestimate the useful information to be gleaned from smaller atmospheric encounters, known as meteors or fireballs. Not only do these events help determine the linkages between meteorites and their parent bodies; due to their relative regularity they provide a good statistical basis for analysis. For successful cases with found meteorites, the detailed atmospheric path record is an excellent tool to test and improve existing entry models assuring the robustness of their implementation. There are many more important scientific questions meteoroids help us to answer, among them: Where do these objects come from, what are their origins, physical properties and chemical composition? What are the shapes and bulk densities of the space objects which fully ablate in an atmosphere and do not reach the planetary surface? Which values are directly measured and which are initially assumed as input to various models? How to couple both fragmentation and ablation effects in the model, taking real size distribution of fragments into account? How to specify and speed up the recovery of a recently fallen meteorites, not letting weathering to affect samples too much? How big is the pre-atmospheric projectile to terminal body ratio in terms of their mass/volume? Which exact parameters beside initial mass define this ratio? More generally, how entering object affects Earth's atmosphere and (if applicable) Earth's surface? How to predict these impact consequences based on atmospheric trajectory data? How to describe atmospheric entry

  17. Review of approaches to oil price modeling

    OpenAIRE

    Yulia Raskina

    2010-01-01

    A huge size of an oil market and its relation to economic growth and global wealth distribution make the oil an unique commodity. Oil price prediction is associated with plans of development of states as well as firms. Jumps in oil prices influence world economy similarly to natural disasters of planet scale. There is no surprise that a lot of publications are devoted to research of an oil market, modeling and forecasting of oil prices. This paper gives main facts describing an oil market and...

  18. Applied Regression Modeling A Business Approach

    CERN Document Server

    Pardoe, Iain

    2012-01-01

    An applied and concise treatment of statistical regression techniques for business students and professionals who have little or no background in calculusRegression analysis is an invaluable statistical methodology in business settings and is vital to model the relationship between a response variable and one or more predictor variables, as well as the prediction of a response value given values of the predictors. In view of the inherent uncertainty of business processes, such as the volatility of consumer spending and the presence of market uncertainty, business professionals use regression a

  19. Jackiw-Pi Model: A Superfield Approach

    CERN Document Server

    Gupta, Saurabh

    2014-01-01

    We derive the off-shell nilpotent and absolutely anticommuting Becchi-Rouet-Stora-Tyutin (BRST) as well as anti-BRST transformations s_{(a)b} corresponding to the Yang-Mills gauge transformations of 3D Jackiw-Pi model by exploiting the "augmented" superfield formalism. We also show that the Curci-Ferrari restriction, which is a hallmark of any non-Abelian 1-form gauge theories, emerges naturally within this formalism and plays an instrumental role in providing the proof of absolute anticommutativity of s_{(a)b}.

  20. Development of a computationally efficient urban flood modelling approach

    DEFF Research Database (Denmark)

    Wolfs, Vincent; Ntegeka, Victor; Murla, Damian;

    This paper presents a parsimonious and data-driven modelling approach to simulate urban floods. Flood levels simulated by detailed 1D-2D hydrodynamic models can be emulated using the presented conceptual modelling approach with a very short calculation time. In addition, the model detail can...... be adjust-ed, allowing the modeller to focus on flood-prone locations. This results in efficiently parameterized models that can be tailored to applications. The simulated flood levels are transformed into flood extent maps using a high resolution (0.5-meter) digital terrain model in GIS. To illustrate...... the developed methodology, a case study for the city of Ghent in Belgium is elaborated. The configured conceptual model mimics the flood levels of a detailed 1D-2D hydrodynamic InfoWorks ICM model accurately, while the calculation time is an order of magnitude of 106 times shorter than the original highly...